Estimate two standard economic relationships from time series data
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Estimate two standard economic relationships from time series data using (1) the
cointegration methodology, and (2) ARIM
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Estimate two standard economic relationships from time series data using (1) the cointegration methodology, and (2) ARIM
Essential econometric procedures and forecasting
Econometric Project (100%)
MSc Investment & Banking
This econometric project will constitute 100% of the total mark for the
module.
Applied Econometrics: Time Series 2017/2018
Assessment (Econometric Project): 100%
Estimate two standard economic relationships from time series data using (1) the
cointegration methodology, and (2) ARIMA
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The purpose of this assignment is to test your ability to perform some
essential econometric procedures and forecasting. You will need to
employ the quantitative techniques covered in the module to estimate two
standard economic relationships from time series data using (1) the
cointegration methodology, and (2) ARIMA modelling. Both will involve
some basic diagnostic testing and discussion of the procedures used and
any encountered problems, interpretation and analysis of the results,
and project writing up.
Tasks
Estimate two standard economic relationships from time series data using (1) the
cointegration methodology, and (2) ARIMA
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Select a time series model of a topic related to your degree. Use the
Thomson Reuters service, available at the trading floor, to collect data
necessary to your work. Make sure that you carefully explain which
variables you are using in your analysis and any transformations or
calculations that are necessary.Requirements
You are required to undertake the following procedures:
1. Briefly explain the research question that you are going to address.
2. Explain the reason for your choice of the model.
3. Perform and carefully explain any necessary data transformations –
e.g. logs, lags, differencing.
4. Carry out unit root tests to determine the order of integration of
the variables, include a discussion of the form of the test.
5. Estimate a long-run relationship(s) for cointegration.
6. Estimate a second-order error correction model (ECM).
7. Undertake appropriate diagnostic tests.
8. Interpret and analyse the results.
Estimate two standard economic relationships from time series data using (1) the
cointegration methodology, and (2) ARIMA
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Note: Use E-Views software to perform your econometric procedures
(75 MARKS)
Question 2
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, q) model for this data set.
2. Estimate the best/selected ARIMA (p, d, q) model and obtain the
parameter/coefficient estimates and the ACF and PACF of the residuals.
3. Using the estimated ARIMA (p, d, q) model, forecast values for the
next ten Quarters i.e. 2017Q4 –2020Q1.
4. Perform appropriate diagnostic tests.
5. Interpret and analyse the results.
(25 MARKS)
please see the assignments paper uploaded for the other essential
requirements Icouldnt upload here.
Estimate two standard economic relationships from time series data using (1) the
cointegration methodology, and (2) ARIMA
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