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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

Statistics

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)

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