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Econ220B_prob4

# Econ220B_prob4 - Problem Set 4 Due Tuesday Feb 21 This...

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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 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: one-month in fl ation rate (at annual rate) Column 4: three-month in fl ation rate (at annual rate) Column 5: one-month T-bill rate (at annual rate), as of beginning of month t Column 6: three-month T-bill rate (in percent, annual rate), as of begin- ning of month t Column 7: CPI for urban consumers, all items (the 1982-1984 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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Econ220B_prob4 - Problem Set 4 Due Tuesday Feb 21 This...

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