ECON 320 Econometrics II Problem Set 1
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Problem Set 1 (Due on April 20).
ECON 320; Econometrics II
Use data.txt, which is posted under "Course Materials". The first row of data.txt is the description for each column. Replicate the following figure and submit it. You can submit only the final figure in one page. There is no need to attach matlab files.
(1) Compute the annual ináation rates for 2000.5~2013.5 by taking log di§erence of CPI. That is, Inflationt = 100[ln(CPIt ) 一 ln(CPIt — 12 )].
(2) Compute the growth rates for 2000.5~2013.5 by taking log di§erence of Production Index (SA). That is, Growtht = 100[ln(IPt ) 一 ln(IPt — 12 )].
(3) Create a figure in 3 1 format. The axis rages are [1 157 0.5 6], [1 157 -30 35], and [0 1 0 1] for each panel.
(4) The fontsize is 15 for the title, 10 for the ylabel, and 14 for the text inside the last panel.
(5) The linewidth is 1 in the first panel and 3 in the second panel.
(6) If needed, you can rotate the ylable, for example, by a command, ylabel(ëPercentí, ërotí,90);
(7) Xtick is marked for January.
(8) Use box on/o§, grid on/o§ wherever necessary.
Simulate AR processes and plot them as directed below.
(i) Let y1t = 0:1y1t — 1 + u1t with ut IID N(0; 0:99):
(ii) Let y2t = 0:5y2t — 1 + u2t with ut IID N(0; 0:75):
(iii) Let y3t = 0:9y3t — 1 + u3t with ut IID N(0; 0:19):
(1) Generate y1t , y2t, and y3t with y10 = y20 = y30 = 0 and rng(337) for t = 1;:::; 1000. Plot them in one graph.
(2) Which of y1t , y2t, and y3t is the most persistent?
(3) Which of y1t , y2t, and y3t has the greatest variance?
(4) Estimate the autocorrelation of y1t , y2t, and y3t up to order 3.
2023-04-21