SCHOOL OF ECONOMICS
SCHOOL OF ECONOMICS
University College Cork - National University of Ireland, CorkEC3143 Quantitative Methods: Empirical Econometrics
Dr Jun Gao
Assignment II 2023/24
The second assignment for EC3143 is an individual project. It is based on the estimation of a time series regression model. You have been assigned a Country to work with. You have to download your dataset for the years 1950-2004 from the file on CANVAS. To get the country you assigned please see the excel file List of Countries on Canvas.
Using your assigned country and the Stata econometrics package to obtain your results:
a.) Find the ACF and the PACF of
The real exchange rate; and
the first difference of the real exchange rate
Comment on your results.
b.) Is it possible to determine whether the series are stationary or not, just by simple examination of the ACF and the PACF, as in part (a)?
c.) Use the DF or ADF (where appropriate) to test whether your series is a unit root process. What do you conclude?
d.) Why is it important to include the appropriate lag length and how would you do this?
e.) Test your series for stationarity using a different testing methodology than that used in part c and compare your results.
f.) Using your results comment on the validity of the theory of Purchasing Power Parity.
g.) A suggested method to induce stationarity is to difference the data. Examine whether this method works in this case for your series.
h.) Using the Box-Jenkins modelling procedure, run six different ARMA models on the first difference of your series.
Comment on your results.
Submission Details:
Word Limit: 2,000 words (excluding font page, abstract, reference list, appendix and footnotes).
Double spaced font size 12 with Harvard Referencing Style.
Submission Deadline: Irish Time 17.00 on Friday 1st of December 2023.
Submission Format: Typed and submitted via the Assignments page on Canvas; Please Submit Two files: a word file of your report and a STATA log file of your calculation/estimation work.
There is a 1% penalty for every 100 words over the word limit of 2,000 words.
The front page of the assignment should contain your name, I.D. number, title, and accurate word count.
You must include page numbers on your assignment.
Please include the following declaration on your cover page:
I hereby declare that this work is entirely my own and has not been submitted as part of any other examination or assignment. Any use of the work of others in this assignment is duly acknowledged.
Academic integrity:
The normal university regulations on plagiarism and collusion apply. Please familiarize yourself with theUniversitys Policy on plagiarism:
https://www.ucc.ie/en/media/support/recordsandexaminations/documents/UCCPlagiarismPolicy-2020.pdfTurnitIn will be enabled on all submissions.
Late Submission of Assignments:
To be fair to students meeting deadlines, a penalty will be implemented for the late submission of an assignment. Where work is submitted up to and including 7 days late, 10% of the total marks available shall be deducted from the mark achieved. Where work is submitted up to and including 14 days late, 20% of the total marks available shall be deducted from the mark achieved. Work submitted 15 days late or more shall be assigned a zero mark.
Please note the following: Saturday and Sunday count as 2 days.
Permission for an Extension is only granted in exceptional circumstances.
