Login

Create Account
+14156709189
info@expertsmind.com
Submit Homework/Assignment
Get quote & make Payment
Get Solution
APPLIED FINANCIAL ECONOMETRICS, Financial Econometrics
Question 1
Suppose that you have 150 observations on production (yt) and investment (it), and you have estimated the following ADL(3,2) model:
(1 – 0.5L – 0.1L2 – 0.05L3)yt = 0.7 + (0.2 + 0.1L +0.05L2)it (1)
a. Use this model to describe the dynamic effects of investment on production. Your answer should include a calculation of the impact multiplier and the longrun multiplier.
b. Suppose that you can obtain other output associated with the above regression (eg., the residuals et, the R2, the sum of squared residuals, etc.). Carefully explain how you would test each of the null hypotheses given below.
[Hints: In each case your answer should state the extra output you would need from regression of equation (1), the extra regression(s) that you would need to run, an explanation of how you would construct the test statistic, a statement on the distribution of the test statistic under the null hypothesis, and a brief description of your critical region.]
i. H0: investment has no long run effect on production.
ii. H0: there is no third order serial correlation in the errors.
Question 2
Consider the following equations which respectively describe demand, advertising and supply in the market for cigarettes:
qtyt = a1 + a2 adt + a3 prt + a4 inct + e1t
adt = b1 + b2 qtyt + b3 prt + b4 qtyt1 + e2t
qtyt = c1 + c2 prt + c3 adt1 + e3t
where qty is quantity, ad is advertising expenditure, pr is price of cigarettes, inc is income.
a. Briefly explain why economists should be concerned about using OLS to estimate these equations. (Give the gist of the argument – a formal proof is not necessary here)
b. Derive explicit expressions for the reduced form equations for this model.
c. Consider the order conditions for determining the identification status of each equation. Can you solve uniquely for the structural parameters? (Don’t try, just explain why or why not, for each of the three cases).
Posted Date: 11/15/2012 4:42:50 AM  Location : Malaysia
Ask an Expert
Related Discussions:
APPLIED FINANCIAL ECONOMETRICS, Assignment Help, Ask Question on APPLIED FINANCIAL ECONOMETRICS, Get Answer, Expert's Help, APPLIED FINANCIAL ECONOMETRICS Discussions
Write discussion on APPLIED FINANCIAL ECONOMETRICS
Your posts are moderated
Write your message here..
Related Questions
Show example on aggressive working capital policy, Q. Show example on aggre...
Q. Show example on aggressive working capital policy? With an aggressive working capital policy, a company would hold minimal levels of inventories in order to minimise costs.
Determine average excess return, What do you notice about the alphas and be...
What do you notice about the alphas and betas calculated using the various methods? Using the alpha and beta you calculated for stock 4 along with the average excess return on the
Explain moderate working capital policy, Q. Explain Moderate working capita...
Q. Explain Moderate working capital policy? All the noncurrent assets and permanent asset are financed by longterm finance. The temporary fluctuating assets financed by short
Balance of payment, what economic factors affect current account balances
what economic factors affect current account balances
Current ratio for a company, If current ratio for a company is equal to its...
If current ratio for a company is equal to its acid test (that is, quick ratio), then: A: The current ratio must be less than one. B: Working capital is negative. C: Trade
Investors short sell, Pythagoras Jones has just inherited $1,000,000 and wi...
Pythagoras Jones has just inherited $1,000,000 and wishes to invest this sum in the ?ve funds given below. Fund Name Code Return
Calculate dr''s quick ratio, Q. Calculate DR's quick ratio? DR has the ...
Q. Calculate DR's quick ratio? DR has the following balances under current assets and current liabilities: Current assets $ Current liabilities
Entity’s working capital financing policy, An entity's working capital fina...
An entity's working capital financing policy is to finance working capital using shorttermfinancing to fund all the fluctuating current assets as well as some of the permanent par
Exchange and inflation rates, The Gujistan dollar until January 1st 2009 wa...
The Gujistan dollar until January 1st 2009 was pegged to the USA dollar. As at 31st December 2008, the official spot rate between the two currencies was G$0.6147 = US$1, while the
Explain the working capital management, Q. Explain the Working capital mana...
Q. Explain the Working capital management? Working capital management Working capital management is administration of current liabilities and currentassets.Effective ma
Assignment Help
Accounting Assignment Help
Economics Assignment Help
Finance Assignment Help
Statistics Assignment Help
Physics Assignment Help
Chemistry Assignment Help
Math Assignment Help
Biology Assignment Help
English Assignment Help
Management Assignment Help
Engineering Assignment Help
Programming Assignment Help
Computer Science Assignment Help
IT Courses and Help
ExpertsMind Services
Online Tutoring
Projects Assistance
Exam Preparation
Coursework Help
Programming Courses
Engineering Courses
Why Us ?
~Experienced Tutors
~24x7 hrs Support
~Plagiarism Free
~Quality of Work
~Time on Delivery
~Privacy of Work