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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 7
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).
Read the boxes "Can You Beat the Market Part I" and "Can You Beat the Market Part II" in this chapter. Next, go to the course Web site, where you will find an extended version of the data set described in the boxes; the data are in the file Stock_Returns_1931_2002 and are described in the file Stock_Returns_1931_2002_Description.
a. Repeat the calculations reported in Table 14.3 using regressions estimated over the 1932:1-2002:12 sample period.
b. Repeat the calculations reported in Table 14.7 using regressions estimated over the 1932:1-2002:12 sample period.
c. Is the variable In (dividend yield ) highly persistent Explain.
d. Construct pseudo out-of-sample forecasts of excess returns over the 1983:1-2002:12 period using regressions that begin in 1932:1.
e. Do the results in (a) through (d) suggest any important changes to the conclusions reached in the boxes Explain.
Read the boxes "Can You Beat the Market Part I" and "Can You Beat the Market Part II" in this chapter. Next, go to the course Web site, where you will find an extended version of the data set described in the boxes; the data are in the file Stock_Returns_1931_2002 and are described in the file Stock_Returns_1931_2002_Description.
a. Repeat the calculations reported in Table 14.3 using regressions estimated over the 1932:1-2002:12 sample period.
b. Repeat the calculations reported in Table 14.7 using regressions estimated over the 1932:1-2002:12 sample period.
c. Is the variable In (dividend yield ) highly persistent Explain.
d. Construct pseudo out-of-sample forecasts of excess returns over the 1983:1-2002:12 period using regressions that begin in 1932:1.
e. Do the results in (a) through (d) suggest any important changes to the conclusions reached in the boxes Explain.
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Introduction to Econometrics 3rd Edition by James Stock, James Stock
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