The-data-file-E2-txt-on-has-two-quarterly-seasonally-adjusted-U-S-investment-series-From-these-make-the-variables-assignment-help-

1. The data file E2.txt on has two quarterly, seasonally adjusted U.S. investment series. From these, make the variables

• ∇y1 = first differences of fixed investment

• ∇y2 = first differences of change in business inventories.

Use these data series from 1947-1968 only to answer the following questions:

(a) Plot the two series and comment on their stationarity.

(b) Test the hypothesis that ∇y2 does not Granger cause ∇y1.

(c) Estimate a VAR(p) for these data.

(d) Estimate the relevant impulse responses over 8 quarters. Report related measures of uncertainty and interepret the impulse responses.

 

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