The distributed lag model relating orange juice prices to the Orlando weather reported in the text...

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The distributed lag model relating orange juice prices to the Orlando weather reported in the text was of the form %ChgP = bo+b1FDD + bFDD-1+b3FDD-2+...+ b19FDD-18 + Ut a. Suppose that an agricultural economist tells you that a freeze in December is more harmful than a freeze in the other months. How would you modify the regression to incorporate this effect? How would you test for this December effect? You collect monthly data on the money supply (M2) for the United States from 1962:1-2002:4 to forecast future money supply behavior. a. Given that you have monthly data of money supply, how would you convert the log values of money supply (LM2) into annual growth rate of money supply? b. To forecast future value of money supply, you run an AR model. How would you decide the number of lags to be included? c. In forecasting the money growth rate, you add 9 lags of the monetary base growth rate (DLMB) to see if you can improve on the forecasting performance of a chosen AR(10) model in DLM2. You perform a Granger causality test on the 9 lags of DLMB and find a F-statistic of 2.31. Suppose the critical values of an F-statistics are = 1.88 at the 5% significance level, and -2.41 at the 1% significance level. Discuss the implications. d. Curious about the result in the previous question, you decide to estimate an ADL(10,10) for DLMB and calculate the F-statistic for the Granger causality test on the 9 lag coefficients of DLM2. This turns out to be 0.66. Discuss. The distributed lag model relating orange juice prices to the Orlando weather reported in the text was of the form %ChgP = bo+b1FDD + bFDD-1+b3FDD-2+...+ b19FDD-18 + Ut a. Suppose that an agricultural economist tells you that a freeze in December is more harmful than a freeze in the other months. How would you modify the regression to incorporate this effect? How would you test for this December effect? You collect monthly data on the money supply (M2) for the United States from 1962:1-2002:4 to forecast future money supply behavior. a. Given that you have monthly data of money supply, how would you convert the log values of money supply (LM2) into annual growth rate of money supply? b. To forecast future value of money supply, you run an AR model. How would you decide the number of lags to be included? c. In forecasting the money growth rate, you add 9 lags of the monetary base growth rate (DLMB) to see if you can improve on the forecasting performance of a chosen AR(10) model in DLM2. You perform a Granger causality test on the 9 lags of DLMB and find a F-statistic of 2.31. Suppose the critical values of an F-statistics are = 1.88 at the 5% significance level, and -2.41 at the 1% significance level. Discuss the implications. d. Curious about the result in the previous question, you decide to estimate an ADL(10,10) for DLMB and calculate the F-statistic for the Granger causality test on the 9 lag coefficients of DLM2. This turns out to be 0.66. Discuss.