The e1xls file contains seasonally adjusted quarterly

Reference no: EM13375639

The e1.xls file contains seasonally adjusted quarterly observations from the first quarter of 1960 to the third quarter of 2011 on the volume index (2005=100) of GDP of Australia (rgdpaus). Take the logarithms of this variable and call it lnrgdpaus. In the subsequent tasks always use this log transformed variable.

a) Plot the level and first difference of lnrgdpaus and briefly comment on the graphs.

b) Obtain the sample correlograms of the level and first difference of lnrgdpaus for 20 lags. What do they suggest to you?

c) Perform various unit root tests on lnrgdpaus by executing the unitroot.prg program. Use a maximum lag of 12 quarters and the SC model selection criterion. What do you conclude?

d) Execute the EViews add-in program called Automatic ARIMA selection on lnrgdpaus to determine the best ARIMA model. Use only a constant term as extra independent variable, maximum four AR and MA terms, no SAR (seasonal AR) and SMA (seasonal MA) terms, only first difference and the SC model selection criterion.

e) Decompose the lnrgdpaus series into the permanent (i.e. trend) and transitory (i.e. cycle) components. First perform the Beveridge-Nelson decomposition based on your preferred ARIMA specification from part (d) above by executing the EViews add-in program of the same name. Then, apply the Hodrick-Prescott filter and save both the trend (smoothed series) and the cycle. In both cases plot the estimated permanent and transitory components. Compare the two graphs to each other.

f) Suppose that you previously concluded that lnrgdpaus is trend-stationary and estimate the deterministic trend component of the alleged data generating process by regressing lnrgdpaus on a constant and the time variable. If lnrgdpaus is indeed trend-stationary then the deviations from the estimated trend (i.e. the residuals from your regression) constitute a third alternative estimate of the transitory component. Compare the three estimated transitory components to each other by displaying them on a single time-series plot. What do you notice?

Attachment:- e1.xls

Reference no: EM13375639

Questions Cloud

Part 1 special characteristics of purely competitive firms1 : part 1 special characteristics of purely competitive firms1. how does the investment banks industry fit into the

As a pricing analyst for the value supreme grocery chain : as a pricing analyst for the value supreme grocery chain you are asked to prepare the analysis of a proposal to price

Even before the metals and manufacturing companies describe : even before the metals and manufacturing companies describe earlier u.s. railroads in the nineteeth century were m form

In the mid and late 1990s there was a sharp increase in : in the mid and late 1990s there was a sharp increase in american stock prices followed by an even sharper drop which

The e1xls file contains seasonally adjusted quarterly : the e1.xls file contains seasonally adjusted quarterly observations from the first quarter of 1960 to the third quarter

1 explain why government regulation is needed citing the : 1. explain why government regulation is needed citing the major reasons for government involvement in a market

1 discuss how a company could benefit from either : 1. discuss how a company could benefit from either centralization or decentralization. explain your rationale.select a

1 discuss the advantages and disadvantages associated with : 1. discuss the advantages and disadvantages associated with the decision to implement the new system using the big bang

Problem 1use the internet to study two franchisees in two : problem 1use the internet to study two franchisees in two different industriesor sectors. then carefully evaluate and

User Account

All Pages