Reference no: EM132225071
Make sure all graphs are labeled completely and clearly.
1. Using the Excel file on Blackboard named “GoldData”, estimate an ordinary least squares regression (like the ones we performed in class) of the following form:
Gold = a + B1(Silver) + B2 (Nasdaq) + B3(Federal Funds Rate)
The data are defined as follows:
Date: self explanatory I hope
Gold: Spot price of gold in dollars at the end of the month
Silver: Spot price of silver in dollars at the end of the month
Nasdaq: Spot price of the NASDAQ index at the end of the month
Dow 30: Spot price of the Dow index at the end of the month
Federal Funds Rate: market overnight interest rate for reserves at the end of the month (% points)
All data are real
a) Hypothesize the expected signs for all coefficients (a and B1-B3)
b) Give the GRETL output for the regression above. Use both OLS and one other method appropriate for this data set we discussed in class (a time series)
c) Interpret each coefficient completely. Discuss statistical and economic significance.
d) Interpret R-squared and the p-value of the F-stat
e) Re-estimate using log volume as your dependent variable. Re-interpret all of your coefficients.
f) Substitute Nasdaq with the Dow as a regressor. Discuss any differences.
g) Using the original model, estimate the point “Silver price elasticity of gold prices” and the “Federal Funds Rate elasticity of gold prices” . Evaluate all calculations at the mean levels. Fully interpret your answers.
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