Séries Temporelles

School Of Economics, NUI Cork

EC 3209 Time Series Analysis

Lecturer: Aisling Finucane                             Stata Assignment

Answer all parts.

You will be assigned a Country to work with. You have to download your dataset for the years 1950-2004 from the file on Blackboard.

Using your assigned country and the Stata econometrics package to obtain your results:

a.) Find the ACF and the PACF of

1. The real exchange rate; and
2. the first difference of the real exchange rate

Comment on your results.

b.) Is it possible to determine whether the series are stationary or not, just by simple examination of the ACF and the PACF, as in part a?

c.) Use the DF or ADF (where appropriate) to test whether your series is a unit root process. What do you conclude?

d.) Why is it important to include the appropriate lag length and how would you do this?

e.) Test your series for stationarity using a different testing methodology than that used in part c and compare your results.

f.) Using your results comment on the validity of the theory of Purchasing Power Parity.

g.) A suggested method to induce stationarity is to difference the data. Examine whether this method works in this case for your series.

h.) Using the Box-Jenkins modelling procedure, run four different ARMA models on the first difference of the log of your series.

Comment on your results.

Submission Deadline: 27th April

Submission Details: 1 copy submitted through turnitin, stating Student name, I.D. number and Degree Title, along with the attached signed declaration (see below).

Email log file to: aisling.finucane@ucc.ie

Value: 25% of total grade for module

Students are referred to the Departmental Policy on coursework: http://www.ucc.ie/ucc/depts/economics/studentservices/coursework/index.html

In particular,

Late Submission of Assignments:

• To be fair to students meeting deadlines, a penalty will be implemented for the late submission of an assignment. Where work is submitted up to and including 7 days late, 10% of the total marks available shall be deducted from the mark achieved.  Where work is submitted up to and including 14 days late, 20% of the total marks available shall be deducted from the mark achieved.  Work submitted 15 days late or more shall be assigned a zero mark. Where feedback on assignments has been given by lecturers before this 2 week period, the lecturers will indicate the final date for the late submission, after which a zero mark is assigned.
• Please note the following: Saturday and Sunday count as 2 days.  Late submission of assignments to either your lecturer or Student Services in the Department, can only take place during normal office hours (i.e. 9.15-4.30 Monday to Friday). Assignments will only be accepted when a Student Declaration form is signed and stamped by a member of the Department.
• Permission for an Extension is only granted in exceptional circumstances.

Students are reminded that by signing the Declaration form they are pledging that all work submitted is their own and has not been produced by, or copied from, someone else. Plagiarism/Cheating is viewed as a serious offence by the Department of Economics and University College Cork (see guide to exams for staff and students on Exams Office web-page – httphttp://www.ucc.ie/admin/registrar/examsrec/guideexams-covpage.shtml). Penalties will be administered and may include suspension or expulsion from the University.