EC3233: Econometrics :Stationery Data Assignment

1. Read in the data set monthly.dta from the course moodle page.

• Update the monthly data to the latest available time period for each of GDP, the level of Employment and the Inflation rate from the ONS website.
• The relevant ONS series ID is given in the data set. Just type in the 4-character code to find the series on the ONS website (see problem set 1 (computer) question 5 for an example of how to do this). Now create the yearly (ie 12 months ago) % change in GDP.
• Graph the % GDP change, the inflation rate and the Employment series, following the commands used in the problem sets
• After you have read in and updated the monthly data, the first command you will need to tell Stata is the frequency of the dataset. Type the following command tsset date
• Then graph each series
• Comment on the evolution of each series over time.
• On the basis of the pattern in the graph, what sort of univariate series might each one be? (Eg white noise or random walk?)

2. Now estimate the ACF and the PACF for all the series. On the basis of this and the graphs in Question 1, which type of univariate model do you think each series resembles most closely?

3. Test for stationary in each series? What do you conclude?

4. How do the stationarity tests change if you begin the analysis before January 2010?

5. Are the 1st difference of each series stationary?

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