The data file fred 5 contains the (log) of RPDI ((Y)) and the log of RPCE ((C))

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The data file fred 5 contains the $\log$ of RPDI $(Y)$ and the log of RPCE $(C)$ for the U.S. economy over the period 1986Q1 to 2015Q2.

a. Are the series stationary, or nonstationary? In particular, test whether the series are trend stationary.

b. Test for cointegration allowing for an intercept term. Are the series cointegrated?

c. Estimate a VAR model for the set of $\mathrm{I}(0)$ variables $\left\{\Delta C_{t}, \Delta Y_{t}\right\}$. Pay particular attention to the order of lags.

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Principles Of Econometrics

ISBN: 9781118452271

5th Edition

Authors: R Carter Hill, William E Griffiths, Guay C Lim

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Question Posted: Apr 02, 2024 02:00 AM

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The data file fred 5 contains the (log) of RPDI ((Y)) and the log of RPCE ((C))

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Principles Of Econometrics

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