ECM3ITE Introduction to Time Series Econometrics

ECM3ITE Introduction to Time Series Econometrics Order Description Use EVIEW to analysis the data and each question one by one Introduction to Time Series Econometrics (ECM3ITE). This is a project where students should solve the questions independently. I am not allowed to help you on any aspect of the assignment, and I will not answer any questions directly related to the assignment, unless they are related to clarification of the content. Students can discuss the content of the project with their peers. However, the work on Eviews and report writing should be done individually and independently. Any form of plagiarism will be penalized according to University policy. Your report should provide concise and relevant answers to all questions. Make sure you write the question numbers next to your answers. The computer outputs should be attached as an appendix to your report or copy and pasted to the main report. In conducting statistical tests throughout, clearly state all relevant information, such as the null and alternative hypotheses, the distribution you use, the level of significance, the decision rule (critical value or p-value), and the decision you make. Graphs and Tables should be self-explanatory, i.e. have titles and properly labeled axes. Your report may be typed or clearly hand-written on A4 pages, double-spaced (unclear handwriting may be unintentionally disadvantaged). You may shrink the size of graphs and tables but they should be legible. Note that “explain” or “discuss” type questions require concise and to-the-point answers (about 1/2 A4 double-spaced page maximum). Question 1 ? Descriptive statistics and plots ? Question 2 ? ? Question 3 ? i) Report the regression results of this model in standard form with SE and R2. ii) State and test the null hypothesis that the expected return does not depend on the past return. Clearly report the test statistic, the degrees of freedom, and p-value, and explain the results. (Hint: test the null hypothesis with two restrictions) iii) What is your conclusion from the results Q1-Q2? Discuss. ? Test the predictability of the stock returns using the variance ratio test