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Homework answers / question archive / AQ068-3-2 FECNM Question Using the data set given you are required to: Year Import GDP CPI EXR Export 1975 2741199872
AQ068-3-2 FECNM
Question
Using the data set given you are required to:
|
Year |
Import |
GDP |
CPI |
EXR |
Export |
|
1975 |
2741199872.00 |
20759187456.00 |
27.13 |
5.08 |
2046987656 |
|
1976 |
2761400064.00 |
22381873152.00 |
27.39 |
5.08 |
68687654878 |
|
1977 |
2825600000.00 |
23245174784.00 |
28.64 |
5.08 |
14826987689 |
|
1978 |
3266200064.00 |
25099673600.00 |
28.60 |
5.50 |
11760876507 |
|
1979 |
3723800064.00 |
26326679552.00 |
28.48 |
5.50 |
79448765480 |
|
1980 |
4129600000.00 |
27902736384.00 |
29.01 |
5.50 |
296765998 |
|
1981 |
4665699840.00 |
29508102144.00 |
29.48 |
5.50 |
32888764478 |
|
1982 |
5770599936.00 |
32276527104.00 |
30.43 |
5.00 |
15689886534 |
|
1983 |
7573000192.00 |
36057464832.00 |
33.64 |
5.42 |
48287654978 |
|
1984 |
8729299968.00 |
39053705216.00 |
39.47 |
6.38 |
14568765439 |
|
1985 |
10001000448.00 |
39366787072.00 |
41.24 |
5.71 |
3248765549 |
|
1986 |
12770799616.00 |
43919097856.00 |
42.33 |
5.50 |
46287765666 |
|
1987 |
14861200384.00 |
47325671424.00 |
44.35 |
5.21 |
29276332422 |
|
1988 |
17521199104.00 |
50473791488.00 |
46.51 |
5.04 |
1.1925E+11 |
|
1989 |
21737500672.00 |
55192637440.00 |
48.21 |
5.50 |
2.94879E+12 |
|
1990 |
27436300288.00 |
59301306368.00 |
51.43 |
6.23 |
24487878042 |
|
1991 |
32339200000.00 |
63417974784.00 |
56.42 |
9.68 |
25606535322 |
|
1992 |
37618098176.00 |
67185590272.00 |
59.70 |
9.75 |
39254390886 |
|
1993 |
41162899456.00 |
71384858624.00 |
61.91 |
8.02 |
10947655292 |
|
1994 |
45858398208.00 |
76925698048.00 |
64.32 |
9.50 |
10388776762 |
|
1995 |
48919601152.00 |
76062400512.00 |
64.55 |
8.81 |
24887878223 |
|
1996 |
54301798400.00 |
76939026432.00 |
65.02 |
7.08 |
77948787467 |
|
1997 |
56351698944.00 |
81084997632.00 |
65.21 |
3.00 |
99487476732 |
|
1998 |
60135600128.00 |
89143001088.00 |
66.88 |
3.29 |
52276767432 |
|
1999 |
69293498368.00 |
97218002944.00 |
68.76 |
4.56 |
38409264543 |
|
2000 |
76660899840.00 |
105977004032.00 |
70.56 |
5.72 |
49568994532 |
|
2001 |
89599098880.00 |
116093001728.00 |
73.63 |
7.11 |
13408876827 |
|
2002 |
109231104000.00 |
126407999488.00 |
77.14 |
7.93 |
1.97476E+11 |
|
2003 |
138285596672.00 |
138916003840.00 |
79.87 |
7.03 |
39540907643 |
|
2004 |
155966095360.00 |
151713005568.00 |
82.85 |
4.89 |
42087876332 |
|
2005 |
188533407744.00 |
166625001472.00 |
85.71 |
5.93 |
25290904773 |
|
2006 |
224626294784.00 |
183292002304.00 |
88.70 |
7.09 |
14727878733 |
|
2007 |
265603596288.00 |
196714004480.00 |
91.06 |
7.78 |
74487864872 |
|
2008 |
261552226304.00 |
182237003776.00 |
95.86 |
8.51 |
78087847989 |
|
2009 |
304262021120.00 |
193422000128.00 |
98.49 |
4.12 |
19182768742 |
|
2010 |
339458064384.00 |
210556993536.00 |
100.00 |
3.36 |
11076876868 |
|
2011 |
347741487104.00 |
211227000832.00 |
101.42 |
3.37 |
98087387982 |
|
2012 |
360678359040.00 |
220421996544.00 |
103.25 |
3.20 |
16624768722 |
|
2013 |
395314462720.00 |
232359002112.00 |
104.34 |
3.07 |
98987672094 |
|
2014 |
471535779840.00 |
248953995264.00 |
105.86 |
3.00 |
20396353732 |
CPI (Consumer Price Index), GDP (Gross Domestic Product), EXR (Exchange Rate)
(a) Display the line graph of your data. You might want to transform the data. Note that the choice of the transformations depends not only on the behavior of the time series, but also on the tested long run relationship. So if you assumed a multiplicative relationship, you would apply a logarithm transformation. Discuss and perform estimation strategy. Run the Augmented Dickey-Fuller (ADF) and Philip-Perron test. Note that in order to assess if the time series is I(1), you must test both the series and its differences. If the series is I(1), then the series should contain a unit root (even when testing for trend stationarity) and its differences should be level stationary. If you cannot reject the null hypothesis of the unit root presence in the two chosen time series, you may test whether the series are cointegrated. First, you estimate the linear relationship between the two series by Ordinary Least Square (OLS). Then you run ADF on the residuals using the MacKinnon (1991) critical values.
(50 marks)
(b) Perform data analysis using the chosen model from part (a). State clearly all the relevant hypothesis.
(50 marks)
. (TOTAL 100 MARKS)
