g either
an AR(1) or an AR(2) specification of the above model (equation (1)). Please note in
Eviews, estimating AR(1) and AR(2) specifications are straightforward and they are
equivalent to the Cochrane-Orcutt corrections for the residual autocorrelation. Your final
specification (model), whether AR(1) or AR(2), must be based on the requirement that
the model passes the second order residual serial correlation. Report the results and
relevant tests of your preferred specification and interpret the results. Test if your model still shows the heteroscedasticity and report the results. You must comment on all the results. (Marks 15).
Question 4. Conduct CHOW test of structural break treating 1990 as the date of break.
Report and interpret the CHOW test result. (Marks 5).
Question 5. Conduct unit root (DF/ADF) tests on each of the variables of equation (1) above. You must conduct unit root tests sequentially and report all the results in a Table.Using these results, explain clearly whether the variables in equation (1) are I(0), I(1) or I(2). (Marks 15).
Question 6. Specify and concisely explain the two steps of Engle-Granger co-integration test. Following this method,
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www.51lunwen.org提供 estimate, test and report if equation (1) forms a cointegrating relationship. Interpret the co-integrating parameters. Plot the error correction term (ECT) and comment. (Marks 10)
Question 7. Briefly discuss the differences between Engle-Granger and the Dynamic OLS (DOLS) estimators of a co-integrating relationship. Specify and estimate a first order DOLS co-integrating regression of equation (1) and report the results. Test for the second order residual autocorrelation on this DOLS and assess whether you need to opt for a DGLS (Dynamic GLS) estimator. Depending on the residual serial correlations, estimate a suitable (either AR(1) or AR(2)) DGLS co-integrating regression such that your preferred (final) specification passes residual autocorrelation tests. Conduct significance tests on co-integrating parameters through Wald test and interpret the results.Plot the ECT (error correction term) derived from the DGLS model of your choice and comment. (Marks 15).
Question 8. Compare and contrast the co-integration
代写留学生作业 results obtained from the Engle-Granger approach and your preferred DGLS model. Explain with illustration the concept of an error-correction model. (Marks 10).
Question 9. Specify two regression equations for Granger causality tests between output growth and domestic R&D growth in a multivariate framework using all the variables of
equation (1). Conduct short run and long run Granger causality tests and report and interpret the results. (Marks 10).
The End.
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