Applied Macroeconometrics Final Exam (2020, Summer)
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Final Exam (2020, Summer)
Applied Macroeconometrics
Guidance for the exam
1. Download the eviews file, “exam2020.wf1,” from the folder, “exam2020,” in the moodle, and use it to answer the following questions. The excel file, “data_exam2020.xlsx,” in the same folder has the same data as the eviews file, “exam2020.wf1.” Therefore, you can utilize any other software than the eviews, if it is more convenient for you.
2. Upload your answer (MS-word file) in the folder “Your answer,” in the moodle by 15:00 today.
3. If you have any questions during the exam, the only person you can contact is me. I will be at my computer during the exam to quickly reply to your inquiries. Email me at [email protected] if necessary.
4. The exam questions use the data of the following three variables.
lq =log value of real effective exchange rate of China
ltot =log value of terms of trade
nfa =China’s ratio of net foreign asset to trade volume.
(To understand the meaning of the variables and/or the purpose of the research is not necessary to answer the questions.)
5. The maximum credit is 130 points.
Questions
1. Table 1 shows the unit root test result for the variable, nfa.
Table 1
Null Hypothesis: NFA has a unit root
Exogenous: Constant, Linear Trend
Lag Length: 5 (Automatic - based on SIC, maxlag=10)
(1) (10 points) On the basis of table 1, what is your conclusion of the unit root test for nfa? Explain briefly.
(2) (10 points) Can you determine the degree of integration of nfa on the basis of table 1? Explain briefly why or why not.
(3) (30 points) If you are doing the research, will you use table 1 to determine the presence of a unit root in nfa? If yes, explain briefly why the test specification in table 1 is good enough. Otherwise, do the unit root test for nfa again and show your result. (Copy the result from your software and paste it on your answer sheet. If you cannot implement the test due to lack of computer facility, explain what would you do if you can implement the test.) Then, state your conclusion.
(30 points) Figure 1 shows that three parameters out of the following six parameters are assumed to be zero: b12, b13, b21, b23 b31, b32. What are the three parameters which are assumed to be zero?
3. Table 2 shows the results of a VECM estimation.
Table 2
Vector Error Correction Estimates
Sample (adjusted): 2003Q4 2016Q2
Included observations: 51 after adjustments
Standard errors in ( ) & t-statistics in [ ]
(1) (30 points) Find the values of a1, Y3 and δ1 in the following equation using the estimation results reported in Table 2.
(2) (20 points) If you are doing the research, will you report table 2 as the results of the VECM estimation? If yes, explain briefly why the specification of the model in table 2 is good enough.” Otherwise, explain how the specification of the model can be improved.
2023-07-21