Consider the monthly data of 30-year mortgage rate and the 3-month Treasury Bill rate of the secondary
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Consider the monthly data of 30-year mortgage rate and the 3-month Treasury Bill rate of the secondary market from April 1971 to September 2009.
The data are in m-mort3mtb7109.txt.
(a) Build a regression model with time series error to study the effect of 3-month Treasury Bill rate on the mortgage rate.
(b) Reestimate the model using MCMC method.
(c) Compare and discuss the two fitted models.
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