Introduction to Econometrics 3rd Edition by James Stock, James Stock

النسخة 3الرقم المعياري الدولي: 978-9352863501

Introduction to Econometrics 3rd Edition by James Stock, James Stock

النسخة 3الرقم المعياري الدولي: 978-9352863501

تمرين 4

In Empirical Exercise, you studied the behavior of

over the sample period 1970:1 through 2009:12. That analysis was predicated on the assumption that

a. Test for a unit root in the autoregression for

. Carry out the test using the ADF test that includes a constant and 12 lags of the first difference of

. Also carry out the test using the DF-GLS procedure.
b. Test for a unit root in the autoregression for

and in the autoregression for

. As in (a), use both the ADF and DF-GLS tests including a constant and 12 lagged first differences.
c. What do the results from (a) and (b) say about cointegration between these two inflation rates What is the value of the cointegrating coefficient ( ) implied by your answers to (a) and (b)
d. Suppose that you did not know that the cointegrating coefficient was = 1. How would you test for cointegration Carry out the test. How would you estimate Estimate the value of using the DOLS regression of

onto

and six leads and lags of

. Is the estimated value of close to 1

التوضيح

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