ECON 112 University of California Gross Domestic Product Discussion


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Econ 112: Macroeconomic Data Analysis
1. Plot and comment on any interesting features of the ACF and PACF of the growth rate of real GDP and
the unemployment rate for your assigned country.
2. Estimate a reduced-form Vector Autoregression for the growth rate of real GDP and the unemployment
rate for your assigned country. Use the AIC and BIC (a.k.a. BSC or SC) to help you choose the appropriate
order of the VAR (the order of the VAR is what in class we have called p in V AR(p))
3. Compute and report the coefficient estimates of your preferred VAR specification.
4. Check whether your preferred VAR specification is covariance stationary (i.e. compute the Eigenvalues of
the companion form matrix)
5. Plot the fitted values of the VAR estimation and the time series of the vector of innovations et . Compute
the variance-covariance matrix of the vector et . Are the innovations contemporaneously correlated?
6. Test whether GDP growth is Granger causing the unemployment rate, and whether the unemployment
rate is Granger causing GDP growth.
7. Please attach the R-script used in answering all the questions above.

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