Use the data in PHILLIPS for this exercise. (i) Using all of the yearsthrough 2017run the regression
Question:
Use the data in PHILLIPS for this exercise.
(i) Using all of the years—through 2017—run the regression Dinft on inft–1 (and an intercept) and test the null hypothesis that {inft} is I(1) against the alternative that it is I(0). At what significance level do you reject the null hypothesis?
(ii) What is the estimated value of µ from part (i)? Would you say it is practically different from one?
(iii) Now run the augmented Dickey-Fuller regression by including Dinft–1 as a regressor. Do your conclusions from part (i) change? Does it appear Dinft–1 needs to be in the regression?
Fantastic news! We've Found the answer you've been seeking!
Step by Step Answer:
i Regressing Conducting a Dickey Fuller test on the null that inf t is I1 we have a ...View the full answer
Answered By
Deepak Pal
Hi there! Are you looking for a committed, reliable, and enthusiastic tutor? Well, teaching and learning are more of a second nature to me, having been raised by parents who are both teachers. I have done plenty of studying and lots of learning on many exciting and challenging topics. All these experiences have influenced my decision to take on the teaching role in various capacities. As a tutor, I am looking forward to getting to understand your needs and helping you achieve your academic goals. I'm highly flexible and contactable. I am available to work on short notice since I only prefer to work with very small and select groups of students. Areas of interest: Business, accounting, Project management, sociology, technology, computers, English, linguistics, media, philosophy, political science, statistics, data science, Excel, psychology, art, history, health education, gender studies, cultural studies, ethics, religion. I am also decent with math(s) & Programming. If you have a project you think I can take on, please feel welcome to invite me, and I'm going to check it out!
1+ Reviews
10+ Question Solved
Related Book For 
Introductory Econometrics A Modern Approach
ISBN: 9781337558860
7th Edition
Authors: Jeffrey Wooldridge
Question Posted:
