Course ADVANCED ECONOMETRICS
Programme MSc in Finance
Site HEC Lausanne
Semester Fall 2014
Module Leader Diane Pierret
Teaching Assistant Daria Kalyaeva
Assessment Type: Empirical Assignment
Assessment Title: A Dynamic Model for Switzerland GDP
Written by: Group Y (Ariane Kesrewani & Alan Lucero)
Additional attachments: Zip Folder containing Matlab code, data and figures.
Submission Date: December 15 at 00.05
1. Descriptive Statistics
a. Time series plots of GDP level and GDP growth i. Definition of weak stationarity. GDP level and growth stationarity.
A stochastic…show more content… ii. Observations from plots.
As mentioned before, we can observe from the plots that the GDP level is upward trending, which is a characteristic feature of economic time series. To offset this, we calculate the first differences as a change in logs. Once plotting the vector of the results, another characteristic of economic time series arises in the plot of GDP growth: seasonality. This can be seen in quarterly variations year on year, for example quarter four of each year cannot be purely compared to quarter two since it accounts for a big holiday variation such as Christmas spending, end of year boosting of financial results, etc. Thus growth should be assessed with the corresponding quarter year on year. This effect compensates the business cycles variations which are more significant for