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M31498: Estimate a VAR assuming that in the short run a structural demand shock affects contemporaneously all variables: Econometric Modelling Assignment, UON, UK
| University | University of Nottingham (UON) |
| Subject | M31498: Econometric Modelling |
- In the file “var.wf1”, the data for the growth rate (prod), inflation (inflation), and the short-term interest rate (term) of the US economy are given.
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- Estimate a VAR assuming that in the short run a structural demand shock affects contemporaneously all variables, an inflationary shock affects contemporaneously all variables apart from growth rate, while a monetary policy shock affects growth and inflation only one quarter after.
- Based on these assumptions produce (in graphs) and comment on the impulse response functions.
- Based on these assumptions produce (in tables) and comment on the variance decompositions.
- Estimate a VAR assuming the above structure but in the long run.
- Based on these assumptions in (4) produce (in graphs) and comment the impulse response functions.
- Based on these assumptions in (4) produce (in tables) and comment on the variance decompositions.
- Estimate a VAR assuming that in the short run a structural demand shock affects contemporaneously all variables apart from the inflation, an inflationary shock affects contemporaneously all variables apart from growth rate, while a monetary policy shock affects all variables but only one quarter after.
- Based on these assumptions in (7) produce (in graphs) and comment the impulse response functions.
- Based on these assumptions in (7) produce (in tables) and comment on the variance decompositions.
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2 In the files “panel.wf1” and “panel. data”, data for financial development (left), real production (LDP), government expenditure (lngov), and trade openness (later) are given in natural logarithms for 20 advanced economies for the period 1970-2007. Assume that the last three variables are drivers of financial development.
- Provide and comment on the pooled estimator.
- Provide the fixed and random effects estimators and comment on the regression model that is more suitable for the data.
- In the file “multiple regression.wf1” and “multiple regression. data”, data for exchange rates are given. Assume that the Euro/$ exchange rate (eur) depends on the Yien/$ exchange rate (jpy), the Sterling/$ exchange rate (GBP) as well as on four different market returns: SP500 (sp), FTSE250 (FTSE), Nikkei225 (nikkei), and Shanghai composite index (Shang).
- Provide and comment on the OLS estimator of the above model.
- Report and comment on the confidence intervals.
- Report and comment on the diagnostic tests (using 12 lags where appropriate). Also, discuss the overall regression analysis.
- For the SP500 returns, which is the best specification for an Augmented Dickey-Fuller, what is your expectation, and what is the result of the ADF test?
- Is the KPSS test in accordance with the ADF test?
- For the Sterling/$ exchange rate, which is the best specification for an Augmented Dickey-Fuller, what is your expectation, and what is the result the ADF test?
- Is the KPSS test in accordance with the ADF test?
- For the Euro/$ exchange rate, which is the best specification for an Augmented Dickey-Fuller, what is your expectation, and what is the result the ADF
- Is the KPSS test in accordance with the ADF test?
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