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ECON41615 Postgraduate Programmes 2021/22 Econometrics II

SUMMATIVE ASSIGNMENT ECON41615 ECONOMETRICS II

Choose a country and download its real GDP and its stock market index. You can use data

sources from Datastream, Google Finance, Federal Reserve Bank of St. Louis or others.

Denote the real GDP series by 𝑌 and the stock market index by 𝑃 . The sample size and 𝑡𝑡

frequency of observations must allow you to perform the following steps.
(i) [10 marks] Report and briefly analyse the summary statistics that describe the statistical

properties of log 𝑌 , log 𝑃 , Δ log 𝑌 , and Δ log 𝑃 . Plot all of the series and describe the patterns 𝑡𝑡𝑡𝑡

that you observe.
(ii) [10 marks] Report and comment on the ACF/PACF functions of log 𝑌 , log 𝑃 , Δ log 𝑌 , and

Δ log 𝑃 . 𝑡

(iii)[20marks]Testlog𝑌,log𝑃,Δlog𝑌,andΔlog𝑃 fornon-stationarityat5%significance 𝑡𝑡𝑡𝑡

level. Explain your testing procedure, report the test statistics and the appropriate critical values, and discuss the results.

(iv) [20 marks] Test for cointegration between log 𝑌 and log 𝑃 by the Engle-Granger procedure 𝑡𝑡

at 5% significance level. Explain the test procedure, report the test statistic and the appropriate critical value. Discuss the results.

(v) [20 marks] Test for cointegration between log 𝑌 and log 𝑃 by the Johansen procedure at 𝑡𝑡

5% significance level. Explain the test procedure, report the test statistic and the appropriate critical value. Discuss the results.

(vi) [20 marks] Based on your previous results, estimate the long-run relationship between log 𝑌 and log 𝑃 and an appropriate VECM model for log 𝑌 and log 𝑃 .

Guidance:

1. You will be marked according to how well you conduct the econometric exercises and your analysis of the results.

2. Include in the main text any tables or graphs necessary to understand your explanations and results.

Overall word limit: 1250

ECON41615 Postgraduate Programmes 2021/22 Econometrics II

SUBMISSION INSTRUCTIONS

Your completed assignment must be uploaded to Learn ULTRA no later than 11:59am (UK time) on 31 August 2022.

A penalty will be applied for work uploaded after 11:59am as detailed in the Programme Handbook. You must leave sufficient time to fully complete the upload process before the deadline and check that you have received a receipt. At peak periods, it can take up to 30 minutes for a receipt to be generated.

Assignments should be typed, using 1.5 spacing and an easy-to-read 12-point font. Assignments and dissertations/business projects must not exceed the word count indicated in the module handbook/assessment brief.

The word count should:

Include all the text, including title, preface, introduction, in-text citations, quotations, footnotes and any other items not specifically excluded below.

Exclude diagrams, tables (including tables/lists of contents and figures), equations, executive summary/abstract, acknowledgements, declaration, bibliography/list of references and appendices. However, it is not appropriate to use diagrams or tables merely as a way of circumventing the word limit. If a student uses a table or figure as a means of presenting his/her own words, then this is included in the word count.

Examiners will stop reading once the word limit has been reached, and work beyond this point will not be assessed. Checks of word counts will be carried out on submitted work, including any assignments or dissertations/business projects that appear to be clearly over-length. Checks may take place manually and/or with the aid of the word count provided via an electronic submission. Where a student has intentionally misrepresented their word count, the School may treat this as an offence under Section IV of the General Regulations of the University. Extreme cases may be viewed as dishonest practice under Section IV, 5 (a) (x) of the General Regulations.

Very occasionally it may be appropriate to present, in an appendix, material which does not properly belong in the main body of the assessment but which some students wish to provide for the sake of completeness. Any appendices will not have a role in the assessment – examiners are under no obligation to read appendices and they do not form part of the word count. Material that students wish to be assessed should always be included in the main body of the text.

Guidance on referencing can be found in the programme handbook and on ULTRA. 2

ECON41615 Postgraduate Programmes 2021/22 Econometrics II

MARKING GUIDELINES

Performance in the summative assessment for this module is judged against the following criteria:

  • Relevance to question(s)
  • Organisation, structure and presentation
  • Depth of understanding
  • Analysis and discussion
  • Use of sources and referencing
  • Overall conclusions PLAGIARISM AND COLLUSION Students suspected of plagiarism, either of published work or the work of other students, or of collusion will be dealt with according to School and University guidelines. Your assignment will be put through the plagiarism detection service. END OF ASSESSMENT

The word count should include all the text (plus endnotes and footnotes), but exclude diagrams, tables, bibliography, references and appendices. Guidance on referencing can be found in your Assessment handbook under ‘Things you Need to Know’ on Sharepoint.

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