The data file canada6 contains monthly Canadian/U.S. exchange rates for the period 1971M1 to 2017M3. Split the

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The data file canada6 contains monthly Canadian/U.S. exchange rates for the period 1971M1 to 2017M3. Split the observations into two sample periods-a 1971M1-1987M12 sample period and a 1988M1-2017M3 sample period.

a. Perform a unit root test on the data for each sample period. Which Dickey-Fuller tests did you use?

b. Are the results for the two sample periods consistent?

c. Perform a unit root test for the full sample 1971M1-2017M3. What is the order of integration of the data?

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Principles Of Econometrics

ISBN: 9781118452271

5th Edition

Authors: R Carter Hill, William E Griffiths, Guay C Lim

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Question Posted: Apr 02, 2024 02:00 AM

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The data file canada6 contains monthly Canadian/U.S. exchange rates for the period 1971M1 to 2017M3. Split the

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Principles Of Econometrics

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