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