Empirical Exercise 1.1 - Time Series Regression for Private Consumption
The empirical exercises in this course are created to help you carry out the empirical analyses required for the assignments. The exercises provide step-by-step instructions on how to estimate the various models in OxMetrics, how to interpret the results, etc.
The software package OxMetrics is primarily created for econometric analyses of time series data. All models we consider in this course can easily be estimated using OxMetrics. In particular, we will work with time-series models using the PcGive module.
Using data from Nationalbanken's MONA database for the Danish economy, you are asked to carry out an empirical analysis of the determinants of aggregate private consumption for the sample period of quarterly observations from 1971:1 to 2003:2. The dataset includes time series data on private aggregate consumption, disposable income, wealth, a measure of the expected income loss from unemployment, and the average bond rate. Throughout the course, we will use the time series in the dataset for various empirical illustrations.
Below, you can download a pdf-document with the empirical exercise.
Empirical Exercise 1.1.pdf Download Empirical Exercise 1.1.pdf.
To help you learn how to use OxMetrics, we have created a number of screencast videos which you can find below. We have also created an online tutorial that takes you through each of the questions in the exercise, shows you which results you should be able to get, comments on the results, etc.
Data
Data files: ConsumptionData.in7 Download ConsumptionData.in7 and ConsumptionData.bn7 Download ConsumptionData.bn7.
Algebra file: ConsumptionData.alg Download ConsumptionData.alg.
Videos
To help you learn how to use OxMetrics in practice, we have created screencast videos which illustrate how to do the various parts necessary to carry out empirical analyses and interpret the results. You can use the videos as a supplement to the empirical exercises or you can watch the videos and skip the empirical exercises if you feel that gives you sufficient understanding of how to carry out the empirical analyses in practice.
On the following pages, you can find more videos illustrating how to load, transform, and graph data and how to estimate linear regression models using the PcGive module.
Video: Loading, transforming, and Plotting Data in OxMetrics (9:58 minutes).
The video shows you how to create data transformations and create various graphs in OxMetrics.
Video: Estimating a Linear Regression Model for Stationary Time Series in OxMetrics (9:57 minutes).
The video shows how to formulate and estimate a simple linear regression model, how to make relevant graphs of the estimated residuals, how to save the estimated residuals, and how to impose and test restrictions on the model.
Online Tutorial
In the online tutorial, we try to guide you through each of the questions in the exercise by combining explanations, graphs, hints, feedback, and quizzes.