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stata代写-ECN602
时间：2021-03-19
ECN602 Applied Macroeconometrics, Spring 2021
Deadline: 12noon Wednesday, 24th of March, 2021
The completed assignment should be submitted online through Balckboard/Turnitin before
12noon on Wednesday, 24th of March. Any unauthorised late submissions after 12noon on
the day of the deadline will incur a penalty of 5%. An additional 5% penalty will be added
after 24 hours from 12noon on the day of the deadline and then at 24 hour intervals, up to
5 working days late. After that, a mark of zero will be awarded.
Speci c Submission Guidelines
The membership of groups is available on the module website. One student from
each group (the group representative) must submit the completed assignment through
Blackboard/Turnitin. Each group must submit ONLY ONE copy.
Include the module code and your group number on the name of the submitted le
(e.g. the submitted le of group number 3 should be marked as ECN602-Group3).
Use the ECN Turnitin Submission Template.docxavailable on Blackboard/Turnitin.
Failure to attach the correct coversheet will incur a 5% deduction of your assignment
mark which will be applied before any late penalties have been imposed. The as-
sessment code should be the module code together with your group number (e.g.
ECN602-Group3) and registration no should include the registration numbers of
all group members.
The assignment should be type-written.
In the main part of the assignment, you should include your answers to the two ques-
tions and a reference list. This part should be no longer than 2000 words. Please do
not alter the formatting (margins, font, font size nor line spacing).
An appendix containing all the tables and gures that you refer to should also be
added. Stata tables should be formatted using Courier New font 9. The appendix
should be no longer than 8 pages. Note that the appendix is not included in the word
limit of 2000 words.
All pages must be numbered. All tables and gures must be labelled and must have self-
explanatory titles. All tables and gures should be discussed in the text, so you need
to be selective no marks will be given for tables and gures that are not discussed.
Harvard referencing must be used. For more information see:
http://www.librarydevelopment.group.shef.ac.uk/referencing/harvard_iframe.html
The Stata commands used to answer question 1 should be provided at the end of
the completed assignment. This is not included in the word limit of 2000 words.
Assignments with no Stata commands will be given a zero mark in this question.
1
The total marks for the assignment are 100. The marks in parentheses ( ) are the marks
for each question and the marks in brackets [ ] are the marks for the components of
each question.
10 marks are allocated to the presentation of your assignment. This includes: (i) clear
structure and layout; (ii) clarity and logical presentation of ndings and arguments;
(iii) adherence to page limit and other speci cations; (iv) correct use of references.
Questions
1. (70 marks) From any (reliable) data source choose a univariate time series of your
interest, with at least 50 equally spaced data points. (Choosing a time series that has
already been provided to you in this module, either as part of an application in the
lectures or for the labs, will incur a penalty of 50% on this question.)
(a) [15 marks] Explain why your chosen time series is of interest and discuss its features
(for example, trend, structural breaks, cycle elements). Make sure to cite your
data source and any references you may use.
(b) [15 marks] Determine if your time series is stationary or not using the Augmented
Dickey Fuller (ADF) test. Explain clearly what you are doing.
(c) [25 marks] Use the Box-Jenkins procedure to obtain the most suitable model for
your time series. Explain each step carefully. (Note that if the series is non-
stationary, you need to use the appropriate transformation to make it stationary.)
(d) [15 marks] Consider the "best" model you chose in part (c) and perform the
Engles Lagrange Multiplier (LM) test on the residuals to determine whether or
not the residuals show conditional heteroscedasticity. Explain clearly what you
are doing. (Note that if the series does not exhibit conditional heteroscedasicity,
you still need to show and explain the results of the test.)
2. (20 marks) After reading Engle (2001), write a short reection addressing the following:
What were the key points in the article that you found most interesting, and why?
How could the ndings and ideas of the article inform your own future research
involving macroeconomic or nancial data?
Engle, R.F. (2001). GARCH 101: The Use of ARCH/GARCH Models in Applied
Econometrics, Journal of Economic Perspectives, 15(4), 157-168.
(The article is available in the Resource List.)
2
学霸联盟
Deadline: 12noon Wednesday, 24th of March, 2021
The completed assignment should be submitted online through Balckboard/Turnitin before
12noon on Wednesday, 24th of March. Any unauthorised late submissions after 12noon on
the day of the deadline will incur a penalty of 5%. An additional 5% penalty will be added
after 24 hours from 12noon on the day of the deadline and then at 24 hour intervals, up to
5 working days late. After that, a mark of zero will be awarded.
Speci c Submission Guidelines
The membership of groups is available on the module website. One student from
each group (the group representative) must submit the completed assignment through
Blackboard/Turnitin. Each group must submit ONLY ONE copy.
Include the module code and your group number on the name of the submitted le
(e.g. the submitted le of group number 3 should be marked as ECN602-Group3).
Use the ECN Turnitin Submission Template.docxavailable on Blackboard/Turnitin.
Failure to attach the correct coversheet will incur a 5% deduction of your assignment
mark which will be applied before any late penalties have been imposed. The as-
sessment code should be the module code together with your group number (e.g.
ECN602-Group3) and registration no should include the registration numbers of
all group members.
The assignment should be type-written.
In the main part of the assignment, you should include your answers to the two ques-
tions and a reference list. This part should be no longer than 2000 words. Please do
not alter the formatting (margins, font, font size nor line spacing).
An appendix containing all the tables and gures that you refer to should also be
added. Stata tables should be formatted using Courier New font 9. The appendix
should be no longer than 8 pages. Note that the appendix is not included in the word
limit of 2000 words.
All pages must be numbered. All tables and gures must be labelled and must have self-
explanatory titles. All tables and gures should be discussed in the text, so you need
to be selective no marks will be given for tables and gures that are not discussed.
Harvard referencing must be used. For more information see:
http://www.librarydevelopment.group.shef.ac.uk/referencing/harvard_iframe.html
The Stata commands used to answer question 1 should be provided at the end of
the completed assignment. This is not included in the word limit of 2000 words.
Assignments with no Stata commands will be given a zero mark in this question.
1
The total marks for the assignment are 100. The marks in parentheses ( ) are the marks
for each question and the marks in brackets [ ] are the marks for the components of
each question.
10 marks are allocated to the presentation of your assignment. This includes: (i) clear
structure and layout; (ii) clarity and logical presentation of ndings and arguments;
(iii) adherence to page limit and other speci cations; (iv) correct use of references.
Questions
1. (70 marks) From any (reliable) data source choose a univariate time series of your
interest, with at least 50 equally spaced data points. (Choosing a time series that has
already been provided to you in this module, either as part of an application in the
lectures or for the labs, will incur a penalty of 50% on this question.)
(a) [15 marks] Explain why your chosen time series is of interest and discuss its features
(for example, trend, structural breaks, cycle elements). Make sure to cite your
data source and any references you may use.
(b) [15 marks] Determine if your time series is stationary or not using the Augmented
Dickey Fuller (ADF) test. Explain clearly what you are doing.
(c) [25 marks] Use the Box-Jenkins procedure to obtain the most suitable model for
your time series. Explain each step carefully. (Note that if the series is non-
stationary, you need to use the appropriate transformation to make it stationary.)
(d) [15 marks] Consider the "best" model you chose in part (c) and perform the
Engles Lagrange Multiplier (LM) test on the residuals to determine whether or
not the residuals show conditional heteroscedasticity. Explain clearly what you
are doing. (Note that if the series does not exhibit conditional heteroscedasicity,
you still need to show and explain the results of the test.)
2. (20 marks) After reading Engle (2001), write a short reection addressing the following:
What were the key points in the article that you found most interesting, and why?
How could the ndings and ideas of the article inform your own future research
involving macroeconomic or nancial data?
Engle, R.F. (2001). GARCH 101: The Use of ARCH/GARCH Models in Applied
Econometrics, Journal of Economic Perspectives, 15(4), 157-168.
(The article is available in the Resource List.)
2
学霸联盟
