Econ 427, Spring 2010

Problem Set 4. Due Thursday, March 18

Ch 9. Exercises, Problems and Complements:

2. (p. 184) [Hint: This is a continuation of a problem from the last problem set. Assume that this is data for business days, i.e. Monday-Friday. I have created an Excel spreadsheet with the appropriate day-of-the-week dummies. You can download it from the EViews page.]

4. (p. 185)

Ch 10. Problems and Complements:

4. (p. 215) [Note: The CUSUM test can be found by clicking View/Stability Tests/Recursive Estimates (OLS only). Hint: For parts b & c, because Eviews does not permit stability testing on equations with ARMA terms, instead use one or more lags of hstarts to model the cyclical dynamics. Use AIC and SIC values to select the number of lags to include.]

6. (p. 215-216) [Note: there are 16 years of quarterly data; create a new workfile going from 1990:1 to 2006:4 and import the data from the Diebold data file, ..\Data Sets\fcst4-10\PC10_06_AIRSPEED.DAT. To do the recursive tests in part c, from the equation, click on View/Stability Tests/Recursive Estimates (OLS only). You will want to look at the recursive residuals, CUSUM test, CUSUM of squares test, and Recursive Coefficients.]