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

تمرين 1

These exercises are based on data series in the data files USIVIacro_QuarterIy and USMacro_Monthly described in the Empirical Exercises in Chapters 14 and 15. Let Y i = ln(GDT)), R i denote the 3-month Treasury bill rate, and and denote the inflation rates from the CPI and Personal Consumption Expenditures (PCE) Deflator, respectively.
Use the DF-GLS test to test for a unit autoregressive root for Y t. As an alternative, suppose that Y t , is stationary around a deterministic trend. Compare the results to the results obtained in Empirical Exercise.
Exercise
Use an augmented Dickey-Fuller statistic to test for a unit autogressive root in the R model for Y t. As an alternative, suppose that Y t is stationary around a deterministic trend.