ECON2032: Identifying Stationarity/NonStationarity - Economics Assignment Help

Assignment Task:

Task:

BACKGROUND

Identifying stationarity/non?stationarity and the presence or absence of cointegration is crucial to modelling long?run and short?run dynamic relationships between time?series variables. In this exercise, you are asked to analyse the relationship between the yields for bank?accepted bills with
two different maturities, 3 months and 6 months, in the Australian economy, after identifying their orders of integration and whether or not there is cointegration between them. For the exercise, you are required to collect and prepare the necessary data, and then use the econometric techniques
covered in this unit to analyse the data.

QUESTIONS
Preparation of the data set is worth 10 marks, and all the questions below are of equal value.

Q1. Describe your data set, briefly explaining how you prepared your data files, especially demonstrating their originality, and providing and commenting on descriptive statistics.

Q2. Plot each variable against time and obtain correlograms. Comment on the plots in regard to the trend and stationarity/non?stationarity of the series.

Q3. Determine the order of integration for each variable using the Augmented Dickey?Fuller (ADF) test at 5%. (Set the maximum lag order to 12 and let Gretl “test down from the maximum lag” using the AIC.)

Q4. Explain whether or not it is possible that the two variables are cointegrated in light of the result in Q3. Test if the following is a cointegrating regression using the Engle?Granger test procedure. Use the 5% significance level.

BAB3t = β1 + β2BAB6t + ut.

* In Gretl, the variable listed first will become the dependent variable (i.e. the variable on the left side of the regression). Set the maximum lag order to 12, and select “test down from the maximum lag” using the “AIC”.

This ECON2032: Economics  Assignment has been solved by our Economics  Experts at My Uni Paper. Our Assignment Writing Experts are efficient to provide a fresh solution to this question. We are serving more than 10000+ Students in Australia, UK & US by helping them to score HD in their academics.Our Experts are well trained to follow all marking rubrics & referencing style.

Be it a used or new solution, the quality of the work submitted by our assignment experts remains unhampered. You may continue to expect the same or even better quality with the used and new assignment solution files respectively. There’s one thing to be noticed that you could choose one between the two and acquire an HD either way. You could choose a new assignment solution file to get yourself an exclusive, plagiarism (with free Turnitin file), expert quality assignment or order an old solution file that was considered worthy of the highest distinction.