In your role as a data analyst with a financial consultant, you are provided monthly interest...
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In your role as a data analyst with a financial consultant, you are provided monthly interest rates (Commmonwealth government bonds with 2 years, 5 years and 10 years maturities) for the period January 1995-June 2020 (T-306). The three series are plotted in Figure 1. Figure 1: Monthly Commonwealth Bond Yields from January 1995 to June 2020 4²,-0.019 -0.627 × A= 0.627 x A-0.038 x4²+ 1-1 (0.506) 1-1 (-1.45) (-9.58) Ay=0.028- 0.100 x 1.340 xx+0.400xz (1.29) (-5.69) (-23.1) (11.6) 1-1 - +1.515xx, - 1.381 xx (-29.2) (42.6) +1₁ 0.620 x2 +0.580x+₁ (16.7) (-18.1) 7-1 1-1 1-1 y 0.028+0.900xy (1.29) (39.8) Please use the above results only to answer the following questions. What inference can be drawn on the order of integration for the stochastic process (z;)? 2 Let ydenote the 10 year bond series, x, the 5 year bond series, and z, the 2 year bond series. You use statistical software to estimate the following equations (f-statistics in parentheses) A: -0.033-0.012 x,-1+0.347x Az 1-1 (1.07) (-1.86) (6.54) 0 0 100 TB10YR TB2YR t 200 TB5YR 300 In your role as a data analyst with a financial consultant, you are provided monthly interest rates (Commmonwealth government bonds with 2 years, 5 years and 10 years maturities) for the period January 1995-June 2020 (T-306). The three series are plotted in Figure 1. Figure 1: Monthly Commonwealth Bond Yields from January 1995 to June 2020 4²,-0.019 -0.627 × A= 0.627 x A-0.038 x4²+ 1-1 (0.506) 1-1 (-1.45) (-9.58) Ay=0.028- 0.100 x 1.340 xx+0.400xz (1.29) (-5.69) (-23.1) (11.6) 1-1 - +1.515xx, - 1.381 xx (-29.2) (42.6) +1₁ 0.620 x2 +0.580x+₁ (16.7) (-18.1) 7-1 1-1 1-1 y 0.028+0.900xy (1.29) (39.8) Please use the above results only to answer the following questions. What inference can be drawn on the order of integration for the stochastic process (z;)? 2 Let ydenote the 10 year bond series, x, the 5 year bond series, and z, the 2 year bond series. You use statistical software to estimate the following equations (f-statistics in parentheses) A: -0.033-0.012 x,-1+0.347x Az 1-1 (1.07) (-1.86) (6.54) 0 0 100 TB10YR TB2YR t 200 TB5YR 300
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SOLUTION To infer the order of integration for the stochastic process described by equation 7 we need to examine the coefficients of the differenced v... View the full answer
Related Book For
Income Tax Fundamentals 2013
ISBN: 9781285586618
31st Edition
Authors: Gerald E. Whittenburg, Martha Altus Buller, Steven L Gill
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