Econ 505: Economic Models and Forecasting Homework Assignment #2 jj espinoza Problem 1
Download 0.67 Mb.
|
The results of the Augmented Dickey-Fuller Unit Root Test on DSPI are shown in the image below. Note that the Null-Hypothesis is that DSPI has a unit root or that DSPI is non-stationary. The t-statistics is -1.615 which is not statistically significant at the 10% level so we cannot reject the Null-Hypothesis that DSPI has a unit root/is non-stationary. 
The results of the Augmented Dickey-Fuller Unit Root Test on DSPI are shown in the image below. Note that the Null-Hypothesis is that DSPI has a unit root or that DSPI is non-stationary. The t-statistics is -0.4304 which is not statistically significant at the 10% level so we cannot reject the Null-Hypothesis that DSPI has a unit root/is non-stationary. Using the Correlogram which is a plot of the sample auto-regression function against its lag length we can also see that PCE and DSPI are non-stationary because we have large and decreasing ACF (autocorrelation function).  
Directory: 2009 2009 -> The Truth about the Rwandan Genocide 2009 -> Guide to learn how to install, set up and access the music you need today! 2009 -> Lesson #11: Words with 2009 -> Terry L. Root 2009 -> The environment in the news 2009 -> Town of Nags Head Annual Report 2009 -> Cemir international Download 0.67 Mb. Share with your friends:
|