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Introduction to Econometrics 3rd Edition by James Stock, James Stock
Edition 3ISBN: 978-9352863501Introduction to Econometrics 3rd Edition by James Stock, James Stock
Edition 3ISBN: 978-9352863501 Exercise 22
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. Let R, denote the interest rate for three-month treasury bills. Estimate an ADL(1,4) model for R t using lags of R t , as additional predictors. Comparing the ADL(1,4) model to the AR(1) model, by how much has the
changed
b. Is the Granger causality F-statistic significant
c. Test for a break in the coefficients on the constant term and coefficients on the lagged values of R using a QLR test. Is there evidence of a break
a. Let R, denote the interest rate for three-month treasury bills. Estimate an ADL(1,4) model for R t using lags of R t , as additional predictors. Comparing the ADL(1,4) model to the AR(1) model, by how much has the
changed b. Is the Granger causality F-statistic significant
c. Test for a break in the coefficients on the constant term and coefficients on the lagged values of R using a QLR test. Is there evidence of a break
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Introduction to Econometrics 3rd Edition by James Stock, James Stock
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