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Midterm Exam - Applied Advanced Econometrics - ECON4413/5513, Semester 2, 2022
发布时间：2022-09-12
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Midterm Exam - Applied Advanced Econometrics - ECON4413/5513, Semester 2, 2022
Question 1
The file x series .txt contains 300 observations of a simulated stationary data.
(a) Compute and graph the autocorrelation and partial autocorrelation functions of x series .txt (b) Estimate the ARMA models, and report the coefficients.
(c) Verify if the parameters are statistically significant, and if they satisfy the stationarity and invertibility conditions.
(d) Report the AIC and the BIC and interpreted them.
(e) Perform residuals diagnostic tests (Ljung-Box Q-statistics). Interpret the results.
Question 2
The file interest rates qt .txt contains quarterly data from 1960.1 to 2012.4 on five US interest rate series (212 observations)
column 1 = year
column 2 = quarter
column 3 = federal funds rate (rff)
column 4 = treasure bill rate (tb)
column 5 = 1 year treasury bill rate (rt1)
column 6 = 10 year treasury constant maturity rate (rt10)
(a) Compute the 1- and 10-year interest rate spread. The spread is obtained by subtracting the T-bill rate from the 1- and 10-year interest rates.
(b) Restrict your observations to 1984:1 to 2008:2 period (98 observations in total). Using the incorrect sample period will make all your answers wrong. If you subsample correctly you will find that the first and last observation of the 1-year interest rate spread are 1.01 and 0.44, respectively.
(c) Plot in one graph the two spread series across time in levels.
(d) Compute the AIC and the BIC for the VAR with a constant.
(e) Perform diagnostic tests on the residuals of the VAR model (residual autocorrelation, residual hetero-
geneity (arch), and normality tests). Interpret the results.
(f) Perform Grange causality tests. Interpret the results.
(g) Compute and plot the impulse functions and interpret your findings.
(h) Compute and plot the forecast error variance decomposition, and interpret the results.
