Consider that Y and X are non-stationary I(1) variables and they are cointegrated. Interpret the coefficients of

Fantastic news! We've Found the answer you've been seeking!

Question:

Consider that Y and X are non-stationary I(1) variables and they are cointegrated. Interpret the coefficients of following two estimated models. Calculate in how many periods the deviations from equilibrium will return back.

Yt = 6.5 - 1.5Xt

(3.5) (-3.75)

ΔYt = 0.55ΔXt - 0.25u(̂t-1)

(2.5) (-3.25)

Related Book For answer-question

Introduction to Econometrics

ISBN: 978-0133595420

3rd edition

Authors: James H. Stock, Mark W. Watson

See More Books

Posted Date: Jun 12, 2020 06:43 AM

See More Questions

Consider a situation where both Y and X are random variables. Let sx and sy be the sample standard deviations of the observed xs and ys, respectively show that an alternative expression for the...
Consider the following two estimated models (1) and (2), with all the variables already described in Problem II Dependent variable: ---------------------------- log(wage) (1) (2)...
1. Use Multiplication Principle to calculate in how many ways you can select a 3-digit number code for your locker. All single digits (0,1,2,3,4,5,6,7,8,9) should be different. Like 235 or 870 or 061...
Find all conjugates in C of the given number over the given field. 1+2 over Q
For the voltage-divider bias configuration of Fig. 4.115, determine: In Figure 4.115 (a) IC. (b) VE. (c) VCC. (d) VCE. (e) VB. (f) R1. 16 V 3.9 k 62 k CE 9.1 k 0.68
A local packaging plant implements various production lines based on the product to be packaged. Each line is for a different product, some being more complicated than others. With several lines...
For each of the following sets of numbers, calculate a $95 \%$ confidence interval for the mean ( $\sigma$ not known); before going through the steps in calculating the confidence interval, the...
What contemporary factors are contributing to the internationalization of the subject of accounting?
9(A). Cartman Company makes a Cheezy-poofs that sells for $5 a bag. Each bag has a variable cost of $2. Cartman has a total fixed costs of $7,200. At budgeted sales of $30,000. What is the margin of...
Do you Wordle? The object of the game is to discover a 5-letter word in 6 tries or less. A claim is made that the mean number of vowels in 5-letter words is 2. You want to test this hypothesis and...
X hands a sum of R100 000 to Y and, hoping that the value of company A's shares will increase dramatically, instructs Y to buy shares for him (X) in company A. Y takes the money and, thinking that...
Tools used to analyze data include a. DBMSs, ERP, and ROI. b. DSSs, OLAPs, and executive information systems. c. OSHAs and C2Cs. d. PPCs, ISs, and B2Bs.
Were Salcedos and Botbyls sentences appropriate? Why or why not?
A portfolio of stocks generates a 9% return in 2018, a 23% return in 2019, and a 17% return in 2020. What was the annualized return (geometric mean) for the entire period?
Refer to the facts in Problem 38 and assume the business car purchased is an SUV weighing 8,000 pounds. Compute the largest depreciation deduction possible in 2019. (Consider bonus depreciation and...
Using Internet resources, locate openings for at least three jobs, other than traditional public accounting positions, which require strong accounting and technology skills. Select one of these jobs,...
The overhanging beam is made of wood having the allowable tensile and compressive stresses of (allow) = 4 MPa and (allow) 4.75 MPa (Figure 1) Part A Determine the maximum concentrated force P that...
Presented below are income statements prepared on a LIFO and FIFO basis for Kenseth Company, which started operations on January 1, 2024. The company presently uses the LIFO method of pricing its...
a. Suppose that E(ut|ut-1, ut-2,...) = 0, that var(ut|ut-1, ut-2,...) follows the ARCH(l) model and that the process for ut is stationary. Show that var(ut) = 0/(1 - 1). b. Extend the result in (a)...
Suppose that ut follows the ARCH process, a. Let E(ut2) = var(ut) be the unconditional variance of ut. Show that var(ut) = 2. b. Suppose that the distribution of ut conditional on lagged values of ut...
Consider the heterogeneous regression model Yi = Î²0i + Î²1iXi + ui, where Î²0i and Î²1i are random variables that differ from one observation to the next....
What is the formula to calculate an individuals taxable income?
Explain why a taxpayer with higher income does not have as large of a behavioral response to an increase in the tax rate as a lower-income taxpayer.
Describe the goal of tax planning.

Consider that Y and X are non-stationary I(1) variables and they are cointegrated. Interpret the coefficients of

Question:

Expert Answer:

It is given that the variables X and Y are nonstationary with the order of integration as one denote... View the full answer

Introduction to Econometrics

Students also viewed these economics questions