Introduce a lag of your dependent variable in your model

Assignment Help Econometrics

Reference no: EM132400428

Use State or R to do these.

Question

Using the following series available on Statistics Canada's website (see "Data"). Use all series for Canada as a whole using a monthly frequency.

• Investment in new housing construction, by type of dwellings (Table: 31-10-0012-01 )

• Canada Mortgage and Housing Corporation, conventional mortgage lending rate, 5-year term (Table: 34-10-0145-01 )

• Building permits, residential values and number of units by type of dwelling for census metropolitan areas (Table: 39-10-0001-01),

• New housing price index, monthly (Table: 18-10-0205-01) Use the longest common time period available to do the assignment.

(a) Adjust any series as needed. Only use series mentioned above (i.e. don't search Statistics Canada's website for other things). If you are not sure what is meant by this question, review your times series notes.

(b) Regress Investments in new housing construction on building per-mits, new housing P1 and the conventional mortgage lending rate. Report your results

(d) Should you control for trends? Seasonality? Justify both and modify your answers in (b) and (e) as you see fit if necessary.

(e) Introduce a lag of your dependent variable in your model. Why did you do this? What can you conclude from your results?

(f) Do you think that there are issues with step (e)? If so, which one(s)?

(g) How many lags of the dependent variable should you include? How can you determine this?

Reference no: EM132400428

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