Graded Problem Set 2

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School

University of Toronto *

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Course

374

Subject

Economics

Date

Jan 9, 2024

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pdf

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1

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Uploaded by SargentKnowledge6791

ECO374: Forecasting and Time Series Econometrics Department of Economics, University of Toronto Graded Problem Set 2 Fall 2023 This Problem Set is based on the R file Case Study 2.Rmd. 1. Read into RStudio data on GDP, unemployment, target rate, CPI, from the file Macro_data_can.csv . The start of the data series should be adjusted to 2012-01-01. The data should be converted to class xts (see R file 1c. Time Series in R with xts ). 2. Using the Johansen test, obtain the number r of cointegration links. 3. Perform Time-series validation for the following models, each with lags 1, 2, and 3: a. VAR model b. TVAR model with one threshold c. VEC model 4. Write a brief comment stating the model that yields the smallest time series validation MSE for each variable. Submission details: Submit one pdf file with your R code, computer output and graphs, generated by Markdown from RStudio. The file should be uploaded to Quercus by the due date and time. There is 10% grade penalty for each new day of late submission.
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