Hi, I need help with the attached work. This can only be done in STATA. Thanks!

UNIVERSITY OF WARWICK DEPARTMENT OF ECONOMICS ECONOMETRICS 1 Exercise Sheet 15 This exercise sheet is to be done prior to your actual tutorial class. The Stata DO file, which you write as a group, should then be submitted by one of your group by e-mail to your designated marker by Monday 10am of Week 9 (Term 2). You MUST take the output generated from your Stata programme to your tutorial classes. The data file is money_uk.dta is a quarterly time series data set containing variables from the UK over the period 1963Q1-2015Q3 Define: mt = Nominal broad money supply (M4); rmt = mt / pt = Real broad money supply (M4); yt = real GDP; Rtb = bond =1 year bond yield; Rtd = id = 3 month Treasury Bill rates; pt = Consumer price index. The aim of this exercise is to estimate the money demand equation. In equilibrium in the money market we have m D = f ( y, R b R d ), that is, the money quantities demanded are a positive function of the disposable income, y, and a negative function of the opportunity cost of holding money, which is R op = Rb R d (a) Test for a unit root in each one of the series rmt , yt , Rtb , Rtd and Rtop . To decide between Model B or C, plot each of the series to inspect for a trend. To decide on the number of lags to include, use the ACF and PACF of the series. As a note in your Stata DO file what do you conclude about the order of integration of each variable? (b) Estimate a static long-run relationship for money demand in the UK over the period 1996Q1-2015Q2,that is: rmt = 0 + 1 yt + 2 Rtop + t (c) (1) Use residuals of the equation in (1) to test for cointegration. As a note in your Stata DO file what do you conclude about the order of integration of the residuals? (d) A more general model has: rmt = 0 + 1 yt + 2 Rtb + 3 Rtd + t (2) Estimate this model and test for cointegration. As a note in your Stata DO file what do you conclude about the order of integration of the residuals? (e) A more general dynamic model has: rmt = 0 + 1 yt + 2 Rtb + 3 Rtd + 4 yt 1 + 5 Rtb1 + 6 Rtd1 + 7 rmt 1 + t (3) Estimate this model and test for cointegration. As a note in your Stata DO file what do you conclude about the order of integration of the residuals? (f) Regardless your results in (e), estimate an error correction model for the money demand in UK of the form: p q k1 k2 i =1 i =1 i =1 i =1 rmt = 0 + i rmt i + i yt i + i Rtbi + i Rtdi + ut 1 + t . (4) where ut are the long-run residuals from equation (3). Choosing the autoregressive orders p, q, k1 and k2 using appropriate tests of significance and tests for serial correlation. As a note in your Stata DO file justify the model specified. (g) As a note in your Stata DO file interpret the estimated coefficient on and reconcile this with your earlier findings, also interpret the estimated coefficient on 1 . NOTE: Before you e-mail your Stata DO file to your designated marker: (i) Check the file runs all the way through from start to end without intervention from the marker. (ii) Annotate your Stata DO file with the appropriate question number to which your answer relates to help the marker understand what part of the DO file is answering which question. (iii) Ensure that your Stata DO file only contains the commands necessary to answer the questions from the exercise sheet. (iv) Make sure, where requested on the exercise sheet, you have included answers to specific questions as a note in the Stata DO file. All exercise sheets will be marked out of 3 points. Failure to follow the instructions noted above might involve you losing marks on a particular exercise sheet