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阿德萊德代寫assignment

Long-run Purchasing Power Parity代寫


 
STUDENT ID NUMBER:.......................................................................................
 
STUDENT  NAME:...............................................................................................
 
 

  • Type answers or write very clearly and concisely in this document.
  • In all cases, test at the 5% level of significance.
  • You must answer the questions by entering the relevant results and required derivations in the body of the assignment (this document). You also must submit an appendix where the complete EViews output you used to answer the questions is provided.
    • A hard copy of the Assignment must be submitted at the FLC in Level 1 Colin Clark with the corresponding Economics coversheet.
    • The Appendix can be attached to your assignment (stapled or spiral bound together) or  it can be submitted electronically as a single pdf file through Blackboard (see instructions on how to upload your pdf Appendix file in Blackboard under the link Assessment)
 
The data file you are to analyse will be emailed to you.
 
The data file contains 276 observations.  The data frequency is monthly and covers the period 1988:1 – 2010:12.  The variables in the file are defined as follows and appear in the following order
 
Column1: cpieuro: An aggregate price index for the Eurozone
Column 2: cpiuk: The national price index for the United Kingdom
Column 3: cpius: The national price index of the United States
Column 4: fxde: The exchange rate between the dollar and the euro
Column 5: fxdp: The exchange rate between the dollar and the pound
Column 6: fxep: The exchange rate between the euro and the pound
 
Note that every student’s data set is different and so every student will have different answers. The data are not real but based on a real dataset of price indices and exchange rates for the United Kingdom, the United States and the Euro area, where for the period before 1999 the 'synthetic' euro, as provided by the European Central Bank, is used.
The data are in anASCII file label “s####.dat’, and thus you will need to use the instructions in the Introduction to EViews document from Practical 1 to bring them into EViews.  You will need to label the variables as above and structure the sample as monthly.
 

In this assignment you will consider a number of models for these data. 
 
  1. First consider price level changes in the US economy (a measure of US Inflation)over the sample, defined as                      

 
  1. Plot the  series and comment on any apparent trend (only visual do not conduct any test here)                         (0.5 Marks)
 
answer here – add space as needed
 
  1. Plot the SACF and SPACF of the  series. Do these plots indicate you might need to test for a trend? Explain how the SACF and SPACF would provide indication of the presence of a trend.             (1 Mark)
 
answer here – add space as needed
 
  1. Using the conclusion reached in b)
    1. Identify and provide three possible ARIMA(p,d,q) models for the series. If you had identified the need to test for a trend you can now assume it is present when identifying these models. (1 Mark)
    2. Explain how you have come to identify these models. (2.5 Marks)
       
answer here – add space as needed
 
  1. Estimate the three models identified in c) and provide the diagnostic statistic in the table below. Note: If you had assumed a trend is likely to be present, proceed with the modelling by assuming there is a trend.Completed Table(1 Mark)
Model ARIMA(p,d,q) ARIMA(p,d,q) ARIMA(p,d,q)
AIC      
SC      
Lag 1 Q-statistics      
p-value      
Lag 2 Q-statistics      
p-value      
Lag 6 Q-statistics      
p-value      
ACF(1)      
ACF(2)      
ACF(6)      
PACF(1)      
PACF(2)      
PACF(6)      
 
 
  1. Which model would you choose based on the evidence provided in iii.Explain (1 Mark)

Define the following variables: ;  ;                                               
 
  1. The Real Exchange Rate is defined as follows:                             
 
(PPP) is said to hold if the real exchange rate is stationary.  Define long-run PPP. (0.5 Marks)               answer here – add space as needed
 
  1. We wish to test if long-run PPP held for the euro and pound during the study period. Please note that to conduct this test you will need to read Enders pp 211-215 regarding the appropriate test for this hypothesis.  Present and explain briefly which test you use and how its application in this case differs from that you would use in the general case. Do not conduct the test yet. (1.5 Mark)
               answer here – add space as needed
 
  1. The eurocommenced in theory in 1999; however, notes and coins did not fully circulate until 2002.  Conduct the test for the samples 19881:1-2010:12 (full sample), 1999:1-2010:12, and 2002:1-2010:12  and report the computed tests and whether the conclusion is different to that reached by considering different samples.   Present your results in a table similar to Enders Table 4.4 on page 214. (Table 2.5 Mark, Explanation and Conclusion 1.5 Mark)
               answer here – add space as needed
 
  1.  
  1. Estimate the following ADL model

  • Present the estimated model (0.5 Marks)
  • Comment on the fit and significance of the model (1 Mark)
  • Use the Q-statistics of the residuals to indicate if they are white noise. Present the null hypothesis, computed test for lags =1,2, and 6 and the conclusions (1.5 Mark)
               answer here – add space as needed
 
  1. Test the hypothesis that the above model can be restricted to be a proportional response model.  That is, test the hypothesis
 

 
                 How does this hypothesis relate to the definition used in Question 2)? (1 Mark) 
                        Indicate the test statistic you use to test the hypothesis (be specific about how you set up the test);provide the computed value,  the decision rule and the conclusions(3 Marks)

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