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ABIZ 3080 Introduction to Econometrics

December 14th, 2022

100 marks total

READ EVERY QUESTION CAREFULLY & ANSWER ALL PARTS THOROUGHLY!!

Answers to the exam questions are due by Monday, December 19th at 4:30pm. However, any student who requires extra time for ANY reason (registered with Student Accessibility Services, feeling stressed/         anxious about this or any other course or life in general, snowperson melted & must be rebuilt, roommate snores, took longer than expected to explain TikTok to your Dad, or literally any other reason) may turn   the exam in without penalty by next Friday, December 23rd at 11:59 pm. No extension beyond Friday,    December 23rd  at 11:59 pm will be considered under any circumstances. You do not need to request this additional time; you may just take it if needed. Submit one file with all of your answers, which       may be typewritten as a Word or .pdf file, or neatly handwritten and scanned into a .pdf file. Submit one   additional file with all of your supporting Excel data and regression work. If your answers are not easy to find in your Excel workbook, they will not be graded.

1. Review the University of Manitoba’s guidelines on academic integrity/academic misconduct at the following link: https://umanitoba.ca/student-supports/academic-supports/academic-integrity

Type each of the following sentences on your answer to this question. By submitting this examination, you acknowledge that you have reviewed the guidelines and agree to each of these conditions.

(a)  I have reviewed the University of Manitoba’s regulations with respect to Academic Integrity,    available on the internet link provided for this examination, and agree to abide by these              regulations, including but not limited to regulations on Plagiarism, Inappropriate Collaboration, Duplicate Submission, Personation and Academic Fraud.

(b)  I have fully referenced all sources of information for my ABIZ 3080 final examination, and have included a complete reference list in my submission.

(c)  I understand that receiving advice, or giving advice, to any classmate on any aspect of this   examination, including sources of data, etc., constitutes Inappropriate Collaboration and is a violation of the University of Manitoba’s rules and regulations with respect to Academic      Misconduct.

(d)  I agree that if I am found by Dr. Carlberg to be in violation of any of these or any other                  guidelines/regulations/policies with respect to academic misconduct, or if I take information from a source not provided on my reference list, Dr. Carlberg will assign me a grade of zero on my       final exam, which will result in a grade of F in ABIZ 3080.

(e)  I understand that if I am found to have violated the University of Manitoba’s regulations with  respect to Academic Integrity, in addition to receiving a grade of zero on my final examination and a grade of F in ABIZ 3080, further disciplinary action could be imposed, potentially           including suspension or expulsion from the University of Manitoba.

If question (1) above is not submitted as per the above instructions, your final examination willnot be graded and you will receive a grade of zero.

2. The energy sector is one of Canada’s most important economic drivers. Retrieve the monthly price in Alberta of West Texas Intermediate (WTI) crude oil for the period April 1st, 1983 to October 1st, 2022.

(a) Using Excel, plot the time series. Comment on how the series has behaved over time. When have      prices been unusually high or low? Why have prices behaved this way during any such times? (8 marks)

(b) Is this time series stationary? Show all your work, and be sure to do all parts of the necessary hypothesis test(s). Of what order is this time series integrated? (12 marks)

3. Retrieve the monthly price of natural gas in Alberta from January 1st, 1988 to October 1st, 2022.

(a) Using Excel, plot the time series. Comment on how the series has behaved over time, and the reasons for movements in this time series. (8 marks)

(b) Is this time series stationary? Show all your work, and be sure to do all parts of the necessary hypothesis test(s). Of what order is this time series integrated? (12 marks)

4. Some energy sector observers believe that crude oil prices and natural gas prices are cointegrated. Are Alberta WTI crude oil prices and natural gas prices cointegrated over the January 1988 to October 2022 time period? Why or why not? Show all of your work and be sure to do all parts of the necessary             hypothesis test(s). (20 marks)

5. Canadas economy relies heavily upon exports, and so exchange rates are of considerable economic

interest. Retrieve the Canada/US exchange rate from January 2000 to December 2022. (a) Plot the data in Excel and comment on any trends you observe. (5 marks)

(b) Construct an econometric model of the Canada/US exchange rate. Your model must include a             minimum of four independent variables, which may include a lagged dependent variable if appropriate.   What are the expected signs on your coefficients, and why do you expect those signs? Clearly explain the economic and econometric reasoning behind your model. Obtain the necessary data to estimate your        model, then fully report the results. Thoroughly test your model for misspecification. ( 15 marks)

6. Using data from the realtor.ca website, obtain a minimum of 50 observations on current house listings  (houses for sale) in Winnipeg and construct an econometric model of house prices. Include a minimum of four independent variables in your model. Fully report your results. Ensure you test for all potential          sources of misspecification. Submit all of your data in your Excel sheet, including the Multiple Listing     Service (MLS) number for each property in your sample. (20 marks)