Assignment #4

PPol 604
Due: Thursday, 7 February 2013

Type up your answers. Give proper credit to those you work with and/or the text(s).

Solve the following problems. Show all of your work, but keep your answers concise. Highlight your (final) answer to distinguish it from your other numbers and text. Include a copy of your input (e.g. do file) or output (e.g. log file), when it is an appropriate way to show your work. However, do not include unnecessary output (i.e. no data dumps), and format any output so that it is easily readable. An appropriate time to include output is when you put your results in a table--if your results are wrong, then the grader has no idea how you came to your conclusions (i.e. give partial credit) unless you provide some output. Explanation includes statistical and substantive explanation (explain so that a statistical layperson can understand it, and so that a statistical analyst will see your erudition).

  1. {10} Do Problem E14.1 in Stock and Watson.
  2. {15} Do Problem E14.2 in Stock and Watson.
  3. {10} Do Problem E14.3 in Stock and Watson. Be careful to use Yt, and not ΔYt.
  4. {10} Using a Chow test, test for a break in the AR(1) model for ΔYt after 1969:I (a Nixon effect).
  5. {15} Do Problem E14.4 in Stock and Watson. State when the F-statistic is maximized. A do-file for the QLR test for the example used in the book is here (original here). See also here.
  6. {20} Do Problem E14.5 in Stock and Watson. Before part (c), test for a break after 1980:IV in the coefficient on the constant term and coefficients on the lagged values of ΔR using a Chow test (a Reagan effect). In part (c), state when the F-statistic is maximized.
  7. {20} Do Problem E14.6 in Stock and Watson. A do-file for the poos forecasts for the example used in the book is here (original here).

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