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a) You obtain the following sample autocorrelations and partial autocorrelations for a sample of 100 observations from actual data (i). Identify the most appropriate time
a) You obtain the following sample autocorrelations and partial autocorrelations for a sample of 100 observations from actual data (i). Identify the most appropriate time series process for this data. Justify your answer (4 Marks) (ii). Use the Ljung-Box Q test to determine whether the first three autocorrelation coefficients taken together are jointly significantly different from zero at 5% level (Use critical chi-squared value =11.1. (6 Marks) Question THREE (20 MARKS) a) Suppose that a researcher has a set of three variables, ytt=1,,T, that is yt denotes a p-variate or p1 vector, that she wishes to test for the existence of cointegrating relationships using the Johansen procedure. Discuss the implication of finding the rank of the appropriate matrix takes on a value of : (i) 0 ; and (ii) 1 (4 Marks) b) Suppose that you obtain the results for the Johansen test using the variables outlined in part (a) as follows: Determine the number of cointegrating vectors, explaining your
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