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Introductory Econometrics 4th Edition by Jeffrey Wooldridge
Edition 4ISBN: 978-0324660609Introductory Econometrics 4th Edition by Jeffrey Wooldridge
Edition 4ISBN: 978-0324660609 Exercise 5
Use the data in VOLAT.RAW for this exercise.
(i) Estimate an AR(3) model for pcip. Now, add a fourth lag and verify that it is very insignificant.
(ii) To the AR(3) model from part (i), add three lags of pcsp to test whether pcsp Granger causes pcip. Carefully, state your conclusion.
(iii) To the model in part (ii), add three lags of the change in i3, the three-month T-bill rate. Does pcsp Granger cause pcip conditional on past i3
(i) Estimate an AR(3) model for pcip. Now, add a fourth lag and verify that it is very insignificant.
(ii) To the AR(3) model from part (i), add three lags of pcsp to test whether pcsp Granger causes pcip. Carefully, state your conclusion.
(iii) To the model in part (ii), add three lags of the change in i3, the three-month T-bill rate. Does pcsp Granger cause pcip conditional on past i3
Explanation
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(i)
Estimating AR (3) model for 
, the r...
Introductory Econometrics 4th Edition by Jeffrey Wooldridge
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