BE953 EMPIRICAL METHODS IN FINANCE PROBLEM SET # 8 - Modelling long-run relationships Data The data to be used can be found in the file heading sgth.xls. The data file consists of quarterly observations on the Singapore dollar/US dollar spot rate (SINGD), Thai Baht/US dollar spot rate (THAIB), Singapore consumer price index (SP) and the Thai consumer price index (TP) from 1986:1 to 2006:2. QUESTION 1. Using the given data, form the Singapore dollar/Thai Baht spot rate (5) Define the variable LS, LSP, and LTP to be the natural logarithms of the Singapore dollar/Thai Baht spot rate, Singapore consumer price index and the Thai consumer price index at time I respectively. (a) Using an Augmented Dickey-Kullertos, mess whether 1,5,, LSP, and LTP, are unit root processes BE953 EMPIRICAL METHODS IN FINANCE PROBLEM SET # 8 - Modelling long-run relationships Data The data to be used can be found in the file heading sgth.xls. The data file consists of quarterly observations on the Singapore dollar/US dollar spot rate (SINGD), Thai Baht/US dollar spot rate (THAIB), Singapore consumer price index (SP) and the Thai consumer price index (TP) from 1986:1 to 2006:2. QUESTION 1. Using the given data, form the Singapore dollar/Thai Baht spot rate (5) Define the variable LS, LSP, and LTP to be the natural logarithms of the Singapore dollar/Thai Baht spot rate, Singapore consumer price index and the Thai consumer price index at time I respectively. (a) Using an Augmented Dickey-Kullertos, mess whether 1,5,, LSP, and LTP, are unit root processes