Question: Based on the augmented Dickey{Fuller test, do you think the first column of yield Dat is stationary? Why or why not? Run the following code

Based on the augmented Dickey{Fuller test, do you think the first column of yield Dat is stationary? Why or why not?
Run the following code to compute changes in the yield curves. Notice the use of [- 1,] to delete the first row and similarly the use of [- n,].
n=dim(yieldDat)[1]
delta_yield = yieldDat[-1,] - yieldDat[-n,]
Plot the first column of delta_yield and run the augmented Dickey-Fuller test to check for stationarity.

Step by Step Solution

3.44 Rating (157 Votes )

There are 3 Steps involved in it

1 Expert Approved Answer
Step: 1 Unlock

See Figure 27 for a plot of the first four columns of the yield data the first four maturities These ... View full answer

blur-text-image
Question Has Been Solved by an Expert!

Get step-by-step solutions from verified subject matter experts

Step: 2 Unlock
Step: 3 Unlock

Document Format (1 attachment)

Word file Icon

957-M-S-L-R (8526).docx

120 KBs Word File

Students Have Also Explored These Related Statistics Questions!