Review 1B

Contents

Review 1B#

by Professor Throckmorton
for Time Series Econometrics
W&M ECON 408/PUBP 616
Slides

1)#

  • Read U.S. Industrial Production: Total Index (IPB50001N) from FRED.

  • Resample/reindex the data to a quarterly frequency using the value for the last month of each quarter.

  • Print the original data and compare it to the resampled/reindexed data to verify it is correct.

2)#

  • Why is this data not stationary?

  • Use appropriate transformations to remove the non-stationarity and plot the series.

  • Correctly and completely label the plot.

3)#

  • Plot the autocorrelation function of the transformed data.

  • Is it stationary? Why or why not?

4)#

  • Conduct a unit root test of the transformed data.

  • Is it stationary? Why or why not?

5)#

If you were to pick a parsimonious AR model (i.e., the number of lags is less than 5) to fit the transformed data, what lag would you pick? Why?

6)#

  • Given your last answer, estimate an AR model given the transformed quarterly data.

  • Interpret the results.

Contents