Briefly explain the research question you are going to ataress 2Explain the reason for your choice of tne mow? why bonus yields from 82-2008? 3. Perform and carefully explain any necessary aata transformations – e.g. logs, lags, aifferencing. . Carry out unit root tests to oaterrnine the order of integration of me variables,( imbue a aiscussion )of the form of the test.
Testing for Unit Roots,A test for me oraer of integration is a test for me number of unit roots, ana follows tnese steps: Step 1 – Test Yt to see if it is stationary. If yes, then Yt – 1(0); if no, then Yt – 1(n); n > 0. Step 2 – Take first differences of Yt as LYt = Yt – Yt-1 , ana then test inkYt to See if it is stationary. If yes, me vt – 1(1); if no, men vt – 1(n); n > 0. Step 3 – Take secona differences of Yt as a2Vt = Lae ne augmented Dickey-Funer (ADF) test for unit roots The Pniilips-Perron (PP) test 5. Estimate a long-run relationsnip(s) for cointegration. 6. Estimate a secona-oraer error correction modei (ECM). 7. Undertake appropriate aiagnostic tests. Outliers Non-linearity Municollinearity fb,utocornaiation
ana finally analysing the restarts. please make sure to use e views for an testing. tnis is me requirements for question 1-
Aims The purpose of this assignment is to test your ability to perform some essential econometric procedures and forecasting. You will need to employ me quantitative techniques covered in the module to estimate two stanaara economic relationships from time series aata using (1) tne cointegration metnoaotogy, and (2) ARIMA modelling. Botn will involve some basic diagnostic testing and discussion of the procedures used and any encountered problems, interpretation and analysis of me results, and project writing up.
Tasks Question 1
Select a time series model of a topic related to your °ogre°. use me Thomson Reuters service, available at tne trading floor, to collect data necessary to your work. Make sure mat you carefully explain wrticn varames you are using in your analysis ana any transformations or calculations that are necessary.Requirements You are require° to unoartake tne following procedures: 1. Briefly explain the research question Mat you are going to aoaress. 2. Explain the reason for your choice of me mow. 3. Perform and carefully explain any necessary aata transformations – e.g. togs, lags, aifferencing. 4. Carry out unit root tests to determine the oroer of integration of tne variables, include a discussion of the form of tne test. 5. Estimate a long-run relationsnip(s) for cointegration. 8. Estimate a secona-oroar error correction moael (ECM). 7. Undertake appropriate diagnostic tests. 8. Interpret and analyse the resuits.
note: use 6-Views software to perform your econometric procedures
The file ‘Question 2 data.xls’ (available in Excel format from X-Stream) contains the Quarterly GDP of the United Kingdom from 1958Q2-2017Q3.
Requirements You are required to import data into SPSS and undertake the following ARIMA modelling procedures: 1. Use the ACF and PACF diagrams and values to identify the best ARIMA (p, d, model for this data set. 2. Estimate the best/selected ARIMA (p, d, model and obtain the parameter/coefficient estimates and the ACF and PACF of the residuals. 3. Using the estimated ARIMA (p, d, model, forecast values for the next ten Quarters i.e. 2017Q4 -202001. 4. Perform appropriate diagnostic tests. 5. Interpret and analyse the results.
(25 MARKS) please see the assignments paper uploaded for the other essential requirements I couldnt upload here.