Consider the monthly data of 30-year mortgage rate and the 3-month Treasury Bill rate of the secondary

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Consider the monthly data of 30-year mortgage rate and the 3-month Treasury Bill rate of the secondary market from April 1971 to September 2009.

The data are in m-mort3mtb7109.txt.

(a) Build a regression model with time series error to study the effect of 3-month Treasury Bill rate on the mortgage rate.

(b) Reestimate the model using MCMC method.

(c) Compare and discuss the two fitted models.

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Analysis Of Financial Time Series

ISBN: 9780470414354

3rd Edition

Authors: Ruey S. Tsay

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Question Posted: May 07, 2024 12:00 PM

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Consider the monthly data of 30-year mortgage rate and the 3-month Treasury Bill rate of the secondary

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Analysis Of Financial Time Series

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