Problem Set 4
Due Tuesday, Feb 21
This problem set asks you to replicate and extend the analysis by Hayashi
and Fama of the joint hypothesis of e
ﬃ
cient markets and constant ex ante
real interest rates.
You can download the data set from
http://fhayashi.fc2web.com/datasets.htm
The data set for this problem can be obtained in either ASCII format
(http://fhayashi.fc2web.com/hayashi%20econometrics/ch2/MISHKIN.ASC)
or Excel spreadsheet
(http://fhayashi.fc2web.com/hayashi%20econometrics/ch2/mishkin.xls) This
data set has the following monthly data from February 1950 to December
1990:
Column 1: year
Column 2: month
Column 3: onemonth in
fl
ation rate (at annual rate)
Column 4: threemonth in
fl
ation rate (at annual rate)
Column 5:
onemonth Tbill rate (at annual rate), as of beginning of
month
t
Column 6: threemonth Tbill rate (in percent, annual rate), as of begin
ning of month
t
Column 7: CPI for urban consumers, all items (the 19821984 average is
set to 100), as reported for month
t
and assumed to be known at the end of
month
t
.
For this exercise we will only use columns 5 and 7.
You can analyze
this data set using any package you like.
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 Spring '08
 Hamilton,J
 Regression Analysis, Interest Rates, Commaseparated values

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