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

Exercise 17

On the textbook Web site Mww.pearsonhighered.coni/stock_watson, you will find a data file USMacro_Quarterly that contains quarterly data on several macroeconomic series for the United States; the data are described in the file USMacro_Description. Compute Y t = ln( GDP t ; ) , the logarithm of real GDP, and Y t the quarterly growth rate of GDP. In Empirical Exercises 14.1 through 14.6, use the sample period 1955:1-2009:4 (where data before 1955 may be used, as necessary, as initial values for lags in regressions).
a. Estimate the mean of Y t.
b. Express the mean growth rate in percentage points at an annual rate.
c. Estimate the standard deviation of Y t. Express your answer in percentage points at an annual rate.
d. Estimate the first four autocorrelations of Y t.. What are the units of the autocorrelations (quarterly rates of growth, percentage points at an annual rate, or no units at all)