Homework Assignment 2 Instructions
定量分析作业代写 I need to see your commands in Stata, you can simply Copy/Paste your commands either in your Word file, or attach as a separate …do file.
Please read carefully the instructions below to be able to answer the questions correctly! 定量分析作业代写
Due date: 22/03/2021, Monday by midnight, please submit it through uploading in the Moodle Assignment folder. Please save all your work in a Word document, and name it using your name, e.g. Gabor_Istvan_HW2.
Please go through the Readings and Slides before you start doing the HW2 Problems. You need to construct forecasting models using the attached Excel file “US_Macro_Data”. 定量分析作业代写
I need to see your commands in Stata, you can simply Copy/Paste your commands either in your Word file, or attach as a separate …do file.
This assignment is worth of 15 points towards your final grade.
Definitions of variables in the Excel file: 定量分析作业代写
m3 – US money supply
ppi – US producer price indices cpi – US consumer price index gdp – US gross domestic product
m1nsa – US money supply (M1) from Enders FFR – US federal funds rate
Tbill- US treasury bill Unemp – US unemployment
1.What are the major differences among these 3 (three) AR(p), ARIMA(p, d, q), and VAR forecastingmethods? 定量分析作业代写
2.Construct 2 (two) forecasting models out of these 3 (three) (AR(p), ARIMA(p, d, q), and VAR) with all their assumptions, steps, criteria and tests using the Excel file
3.Use your models to forecast the values of these variables for the fourquarters of 2002 and 2003. Compare the forecast values with the actual values using some outside sources (World Bank, IMF, OECD, etc.). Explain any discrepancies.
4.Provide a theoretical background for your decisions concerning your variables selection as dependent, independent, etc. 定量分析作业代写
5.Try to be specific about the Hypothesis testing procedure (i.e. why would you rejectyour Ho, or fail to reject it).
6.What is the Granger causality test, and how is it used in the VARmodels?
Interpret your forecasted results, and confidence intervals.
I want to stress again that this is an individual homework, and you need to do it yourself. If you try to “borrow” some parts of the assignment from somebody else, you both will lose points.
