* Please follow the following instructions.
* Send your (1) HW answers in one MS Word file (not pdf) attached to your email to Word file should be stand-alone file without referring to your other files.
* Please also submit your program file and Excel file for data—a total of 3 files.
* Your MSWorld file should have a title, “ECON 360_HW3_Your full name”, like “ECON 360_HW3_”
* HWs should be done independently.
In your last HW #2, you collected data on stock market indices of the U.S. (S&P 500) and your assigned country, either quarterly or monthly. (at least 25 years for quarterly data or at least 20 years for monthly data).
1. Using non-stationary time-series econometrics tools, please discuss about if there is a long-run equilibrium relationship (i.e., cointegration relationship) between the two national stock markets after conducting proper tests. (Tips: Refer to the lecture notes (PPT), Topic 5B, pp. 9-10.—3 steps cointegration test procedures)
2. Please also conduct the similar “single-equation” cointegration tests which are readily available from econometric software, like EVIEWs or others, between the two national stock markets. Then please check if the estimation results from Q1 and Q2 are consistent or not. If not, discuss why not.
3. Is there an error correction (EC) mechanism between the two national stock market or not? Please discuss. (Refer to the lecture notes on Topic 5C. Estimation of EC models)
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