Hints on lab exercise 1

Hints on lab exercise 1 - t on an intercept DLCE t-1 DLCE...

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File: Hints on lab exercise 1 OBTAINING A PARSIMONIOUS MODEL: GENERAL-TO-SPECIFIC SEARCHING Load and save updated GiveWin file (perhaps saved under name NIC2, which includes all data transformations). Do following steps: 1. Select Modules, Start PcGive, Model, Formulate. Estimate by OLS the regression of LCE t on an intercept, LCE t-1 , LCE t-2 , LCE t-3 , LCE t-4 , LY t , LY t-1 , LY t-2 , LY t-3 , LY t-4 , LNW t , LNW t-1 , LNW t-2 , LNW t-3 , LNW t-4 , DD792, D804 and D881. Use the sample period 1970 Q1 to 1990 Q4, using 8 observations for prediction failure testing/forecasting purposes. Keep this sample unchanged from now on. 2. Estimate by OLS the regression of DLCE t on an intercept, DLCE
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Unformatted text preview: t on an intercept, DLCE t-1 , DLCE t-2 , DLCE t-3 , DLY t , DLY t-1 , DLY t-2 , DLY t-3 , DLNW t , DLNW t-1 , DLNW t-2 , DLNW t-3 , LCE t-1 , LY t-1 , LNW t-1 , DD792, D804 and D881. 3. Do same regression as in Step 2 but excluding regressors DLCE t-3 , DLY t-3 and DLNW t-3 . 4. Do same regression as in Step 3 but excluding regressors DD792, D804 and D881 and replacing by DUM. 5. Delete DLCE t-1 and DLCE t-2 from the regression in Step 4. 6. Delete DLNW t and DLNW t-2 from the regression in Step 5. 7. Delete DLY t-1 and DLY t-2 from the regression in Step 6 and replace with DDLY t-1 . 8. Select Model then Progress ....
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