Quantitative methods, Business Management

Assignment Help:

This coursework uses a data set from Stock and Watson's 'Introduction to Econometrics' textbook. The two variables are a three-month interest rate (R90t) and a one-year interest rate (R1yrt). Use of the GRETL econometrics software is required. The data set is on the class MyPlace page. Using data for 1964Q1 to 1999Q4 throughout:

(a) Obtain time series plots of R90t, ?R90t, R1yrt, and ?R1yrt. Obtain plots of R90t against R1yrt and of ?R90t against ?R1yrt. Comment.
Consider the equation

?Xt = α + ρXt-1 + γ1?Xt-1 + γ2?Xt-2 + γ3?Xt-3 + ut.

(b) Run the regression corresponding to (1) when Xt is R90t (the three month interest rate) and test H0 : ρ = 0 against Ha : ρ < 0 using appropriate Dickey-Fuller critical values.

(c) Repeat step (b) but for R1yrt (the one year interest rate).

(d) Repeat step (b) but for R90t - R1yrt.

(e) Discuss the implications of your estimations and your tests in parts (b), (c), and (d).

(f) Estimate and discuss an 'error correction mechanism' type equation to explain ?R90t, reporting tests for both (i) autocorrelation and (ii) parameter stability, as well as parameter estimates and standard errors.


Related Discussions:- Quantitative methods

Organisation, enumerate on the princeples of organisation

enumerate on the princeples of organisation

What is the business process outsourcing, Problem 1: (a) What is the de...

Problem 1: (a) What is the definition of Business Process Outsourcing according to Gartner Dataquest? (b) BPO deals mainly with non-core processes of an organisation. Descri

Time management wizard, Problem Organisations and individuals could der...

Problem Organisations and individuals could derive great benefits from an all-in-one Time Management Wizard. Although there exist various tools such as Calendars and Timesheets

The best ways to motivate employees in an organization, QUESTION Motiva...

QUESTION Motivated people are those who have made a conscious decision to devote considerable effort to achieving something that they value. What they value will differ greatly

Describe the economic and commercial functions of banks, QUESTION (a) "...

QUESTION (a) "Within the financial system of a country, commercial banks are considered as major financial intermediaries with important contribution to the economy". Discuss t

Explain the elements of the negotiation process, Question 1: Explain br...

Question 1: Explain briefly the seven elements of the negotiation process known as the Seven Pillars of the Negotiational Wisdom which need to be considered before and durin

Tqm in design, A broad definition of quality by design is a team of spe...

A broad definition of quality by design is a team of specialists who simultaneously design and develop a product to ensure ease of reducibility and customer satisfaction. Figu

Minimum cost, Sid and Nancy both need to buy pens for school. The bookstor...

Sid and Nancy both need to buy pens for school. The bookstore has only two types of pens: Basic blue pens (B), which cost $.60 each. Long-lasting green pens (G), which have

Business in post american world, do you believe that adaptive unconscious c...

do you believe that adaptive unconscious creates false memories?

Joint negotiating panel and dual recognition, Question 1: (i) Define a...

Question 1: (i) Define a "bargaining unit". (ii) What are the factors, advocated by the Code of Practice of the Industrial Relations Act, 1973 which should be taken into a

Write Your Message!

Captcha
Free Assignment Quote

Assured A++ Grade

Get guaranteed satisfaction & time on delivery in every assignment order you paid with us! We ensure premium quality solution document along with free turntin report!

All rights reserved! Copyrights ©2019-2020 ExpertsMind IT Educational Pvt Ltd