Implement ols with the stationary transformed data

Assignment Help Financial Econometrics

Reference no: EM13533787

Implement the followintg models and test:

Plot the variables

Test for a unit root of all variables using the ADF (p) tests for the levels and the differences to confirm they are integrated of order 1.

1. Implement OLS with the stationary transformed data and test for misspecification of the model.

Exogeneity tests, inspection of the errors: auttocorrelation, heteroscedasticity, espherical errors.

2. Test if variables are co-integrated and if so run and ecm. and test some especific hypothesisTest for misspecification of the model.

3. Run a restricted Vector Auto Regressive model and look at the impulse reaction function. Test for misspecification of the model

4. Test for cointegration vectors and run a VECM and get IRF. Test for especification of the model.

Model of the economic theory.

Reference no: EM13533787

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