Question: Question 1 From the U.K. private sector housing starts (X) for the period 1948 to 1984, Terence M…

30 Apr Question: Question 1 From the U.K. private sector housing starts (X) for the period 1948 to 1984, Terence M…

Posted at 22:02h in 2Past Paper by Exams

Question 1 From the U.K. private sector housing starts (X) for the period 1948 to 1984, Terence Mills obtained the following regression results’: AX,31.03 0.188x, se(12.50) (0.080) 2.35) Note: The 5 percent critical t value is-2.95 and the 10 percent critical value is 2.60 a. On the basis of these results, is the housing starts time series station- ary or npnstationary? Alternatively, is there a unit root in this time se- ries? How do you know? l b. If you were to use the usual / test, is the observed value statistically significant? On this basis, would you have concluded that this time series is stationary? c. Now consider the following regression results: Δ2Xt= 4.76 1.39AX,-1+0.313Ax,- se (5.06) (0.236) (0.163) (-5.89) where Δ’ is the second difference operator, that is, the first difference of the first difference. The estimated value is now statistically sig- nificant. What can you say now about the stationarity of the time se- ries in question?

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