Econ 3342 Assignment on Time Series Instructions: Please type your answers (non-typed answers lose 25 points). For questions that require steps, show them as otherwise there will be a penalty. Please print your outputs in way that your whole screen is captured (use SCREENSHOTS). Notice that students' screenshots are UNIQUE. In Windows, to print your screen you push at the same time Windows button 85 PrtScn. Then just paste in MS WORD as a picture. Your pictures should show your taskbars, hours, which programs are open and a whole lot of things that will work as identiers that the student actually did the job and is not the copy of somebody else's output (it is impossible for 2 students to produce the same screenshots identiers). Finally, for people working in 2 monitors at the same time, in your screenshot please include only the monitor with the Eviews output). 1. In this exercise you compute different types of growth rates for real GDP. First, go to https: //fred.st louisfed.org/ and search for the quarterly GDP series gdpci' (otherwise, just google gdpci'), this series is available since 1947. In the possible formats, download as an EXCEL le. Then import your data into Eviews (you don't have to clean the data, just import it and Eviews does the rest). In what follows, let y, represent gdpcl' (which is quarterly real GDP). After importing gripe] into Eviews, then for all the time periods (all quarters in this sample starting in 1947 Q1) do the following a. In Eviews, create the variables growth] and diog as growthf = 4 $100 * (y: * yam/gal diiog = 4 2k 100 an: (171(3),) 7 1n (yt_1)) The reason we multiply by 4 the above growth rates is that we are interested in following the conventions regarding GDP, where the growth rate reported by the FED is annualized (while our data is quarterly). Also compute a third variable, groth, given by growth4:100 * (gt y,_4)/yt_4 where growth4 measures the annual growth of GDP with respect to the same quarter the previous year. In Eviews, in order to generate a new variable, select Quick, Generate Series..., then write the equation that denes your new variable (can also see the videos posted in the class webpage). Once you have created each series, create a graph of the time series of each variable (In Eviews: View, graph) and take a screenshot of each of them (for an example, see my screenshots at the end of this document, which include all but the last data points for GDP. Your homework should also include the latest data points not included in my screenshot). b. Compare the statistics (Quick, Series Statistics, Histogram and Stats) as well as the correlogram (Quick, Series Statistics, Correlograrn) of growthl and dtilog (produce the screenshots of this activity). Do there appear to be any significant differences between these 2 variables (you don't have to perform some statistical test on the series, just contrast the histogram, correlogram and statistics)? c. Compare the correlograms for growth} and growth4 (produce the screenshots of this activity). Which series appears to have higher linear dependence (as measured by the magnitude of the AC and PAC coef- cients?) Do you have intuition for that? Explain 2. Go to https: //fred.stlouisfed.org/ and search for the monthly unemployment rate series unrate. Down- load the data series as an EXCEL le. Then import your data into Eviews (see videos on how to import the date or see previous homework). a. In Eviews, generate a graph of the unemployment rate time series since 1948 until the most recent observation (Produce the screenshot). In what follows, for the rest of the assignment do the analysis starting in January of 1970. b. Present the screenshot of the histogram and statistics of the unemployment rate. c. Obtain the screenshot of the correlogram for the unemployment rate. Select 12 lags in your correlogram. 2.a Time series of unemployment rate (FRED series UNRATE) d. Given your output for (c), interpret what the 4th row in the Q-stat column means. Mention what is File Edit Object View Proc Quick Options Add - ins Window Help the null hypothesis, the alternative, and whether there is evidence to reject the null hypothesis. e. Use a regression to estimate directly the second order partial autocorrelation coefficient. The coeffi- ommand Capture cient is NOT going to be identical to the PAC shown in the correlogram from Eviews since Eviews uses a i Workthe View Proc Object Save Snap recursive algorithm in order to compute autocorrelations (translation: Eviews correlogram uses a shortcut UNRATE in its routine). Take a screenshot of your regression, explain how you obtained the second order partial a frequency_monthly_o. autocorrelation coefficient and in your explanation mention the numerical value that is requested in this exercise. " Unrate New Page 1.a Time series GDP (FRED series GDPC1) File Edit Object View Proc Quick Opt 2 50 55 60 65 70 75 80 85 90 95 00 05 10 15 20 al Workfile: Got Series: DIFFLOG Workfile: GDPC1:Godpc1\\ View Proc Objes View Prox Object Properties Print Name Freeze Default 005M11 1 26 Type here to search frequency_ DIFFLOG GROWTH1 Gdpet 50 55 60 65 70 75 80 85 90 95 00 05 10 15 20 50 55 60 65 70 75 80 85 90 95 00 05 10 15 20 documents DB . none WE - 94pet Type here to search File Edit Object View Proc Quick Options Add-ins Window Help ex GROWTH4 Workfile: GDPCI:Godpell Range : 194701 202302 - GROWTH4 15 Gdpel New Page -10 50 55 60 65 70 75 80 85 90 95 00 05 10 15 20 Type here to search 3