2. Forward Market Efficiency spot. The data files contain weekly data (all recorded on a Wednesday) for the period 4 January 1984 to 31 December 1990 on the spot \$/AUD exchange rate together with forward rates for 1,3 , and 6 months. The data are from Corbae, Lim, and Ouliaris (1992) who test for speculative efficiency by considering the equation st=0+fftn+ut where st is the log spot rate, ftn is the log forward rate lagged n periods, and ut is a disturbance term. In the case of weekly data and when the forward rate is the 1-month rate, ft4 is an unbiased estimator of st if f=1 and 0=0. (a) Use unit root tests to determine the level of integration of st and ft. (b) Test for cointegration between yt=(st,ft4) by specifying the VECM yt=(t10)+vt. (c) Given the results in part (b), estimate a bivariate VECM. (d) Interpret the parameter estimates 0 and f, and test the restriction f=1. (e) Repeat parts (a) to (d) for the 3-month and 6-month forward rates. Hint: remember that the frequency of the data is weekly. 2. Forward Market Efficiency spot. The data files contain weekly data (all recorded on a Wednesday) for the period 4 January 1984 to 31 December 1990 on the spot \$/AUD exchange rate together with forward rates for 1,3 , and 6 months. The data are from Corbae, Lim, and Ouliaris (1992) who test for speculative efficiency by considering the equation st=0+fftn+ut where st is the log spot rate, ftn is the log forward rate lagged n periods, and ut is a disturbance term. In the case of weekly data and when the forward rate is the 1-month rate, ft4 is an unbiased estimator of st if f=1 and 0=0. (a) Use unit root tests to determine the level of integration of st and ft. (b) Test for cointegration between yt=(st,ft4) by specifying the VECM yt=(t10)+vt. (c) Given the results in part (b), estimate a bivariate VECM. (d) Interpret the parameter estimates 0 and f, and test the restriction f=1. (e) Repeat parts (a) to (d) for the 3-month and 6-month forward rates. Hint: remember that the frequency of the data is weekly