Empirical Exercises 3B: Cointegration
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.
If you find that you don't need to complete the empirical exercise, spend your time wisely and just work directly with the assignment.
Below, you can download a pdf-document with the empirical exercise.
Empirical Exercises 3B.pdf Download Empirical Exercises 3B.pdf.
Data and OxMetrics Program
Data files: ConsumptionData.in7 Download ConsumptionData.in7 and ConsumptionData.bn7 Download ConsumptionData.bn7.
Algebra file: ConsumptionData.alg Download ConsumptionData.alg.
Videos
Video: The Augmented Dickey-Fuller Unit Root Test in OxMetrics (9:48 minutes).
The video shows you how to estimate an autoregressive model in OxMetrics, perform model-selection to find the preferred model, and then carry out the augmented Dickey-Fuller unit root test.
Video: The Engle-Granger Two-Step Cointegration Analysis in OxMetrics (9:57 minutes).
The video shows you how to perform a cointegration analysis based on the Engle-Granger procedure.
Video: The Single-Equation Cointegration Analysis Based on the ADL-ECM Model in OxMetrics (9:58 minutes).
The video shows you how to perform a cointegration analysis based on the ADL and ECM model.
Online Tutorial for Empirical Exercise 3.2
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.
Online Tutorial for Empirical Exercise 3.3
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.