Financial econometrics
The file assignmentdta is a STATA data file containing computer generated data on four time series, X,y,z and w and a series newt which is a quarterly time trend running from (l950:Ql to 1999:Q4). Assume that the series X,y,z and W are already in logs. 1. Investigate the order of integration of the series X,y,z and W, paying particular attention to the form of test regression that you use. (5 marks) 2. Produce dynamic forecasts of X,y,z and w using an estimated VECM model for all 4 series using in-sample forecasting for the period 199oQl to 1999Q4. Now compare the l-step ahead forecast performance of a univariate AR(2) model for AX With forecasts of the same variable using an estimated VECM model for all 4 series using in-sample forecasting for the period 199oQl to 1999Q4. What are the gains (if any) to using the VECM compared to the simple time-series model for the series? Are these gains What you’d expect? (15 marks)
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