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Problem Set 9 Chapter 10 Computer Exercises ? C1

? C2

? C5

? C10 Chapter 11 Computer Exercises ? C1

? C3

? C9I would attach the detail information about the assignment below in a zip file.

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C10.1 In October 1979, the Federal Reserve changed its policy of targeting the money sup-

ply and instead began to focus directly on short-term interest rates. Using the data in

INTDEF.RAW, define a dummy variable equal to 1 for years after 1979. Include this

dummy in equation (10.15) to see if there is a shift in the interest rate equation after

1979. What do you conclude?

C10.2 Use the data in BARIUM.RAW for this exercise.

(i) Add a linear time trend to equation (10.22). Are any variables, other than the

trend, statistically significant?

(ii)

In the equation estimated in part (i), test for joint significance of all variables

except the time trend. What do you conclude?

(iii)

Add monthly dummy variables to this equation and test for seasonality. Does

including the monthly dummies change any other estimates or their standard

errors in important ways?C10.10 Consider the model estimated in (10.15); use the data in INTDEF.RAW.

(i) Find the correlation between inf and def over this sample period and comment.

Add a single lag of inf and def to the equation and report the results in the usual

form.

(ii)

(iii) Compare the estimated LRP for the effect of inflation with that in equa-

tion (10.15). Are they vastly different?

(iv) Are the two lags in the model jointly significant at the 5% level?C10.5

Use the data in EZANDERS.RAW for this exercise. The data are on monthly unem-

ployment claims in Anderson Township in Indiana, from January 1980 through

November 1988. In 1984, an enterprise zone (EZ) was located in Anderson (as well

as other cities in Indiana). [See Papke (1994) for details.]

(i)

Regress log(uclms) on a linear time trend and 11 monthly dummy variables.

What was the overall trend in unemployment claims over this period? (Interpret

the coefficient on the time trend.) Is there evidence of seasonality in unemploy-

ment claims?

(ii) Add ez, a dummy variable equal to 1 in the months Anderson had an EZ, to the

regression in part (i). Does having the enterprise zone seem to decrease unemploy-

ment claims? By how much? [You should use formula (7.10) from Chapter 7.]

(iii) What assumptions do you need to make to attribute the effect in part (ii) to the

creation of an EZ?

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