EC315 Forecasting Method Spring 2022
Topics: VECM, Lag Length Selection, Granger Causality Test, Impulse Response Function
- Summary Statistics
- VAR(2) Model
- Lag Length Selection
- Estimate VECM
%DGDPt = a0+ Sfi%DGDP t-i + Spi%D FXt-i + Sqi%DHPt-i + + SbiD Tbillt-i + SgiDUSTbillt-i +
+ a1ECTt-1 + ut
- Johansen test for number of cointegrating vectors with no constant but trend in the CE.
Johansen (trace) test for Rank(P) = 0
H0: r = 0 H0: r > 0
Level of significance = 5% N =
Johansen (Trace) stat = p-value =
Conclusion:
Repeat for Rank(P) = 1
H0: r = 1 H0: r > 1
Level of significance = 5% N =
Johansen (Trace) stat = p-value =
Conclusion:
Johansen Max test for Rank(P) = 0
H0: r = 0 H0: r =1
Level of significance = 5% N =
Johansen (max) stat = p-value =
Conclusion
H0: r = 1 H0: r =2
Level of significance = 5% N =
Johansen (max) stat = p-value =
Conclusion
- Report the summary table for Johansen tests for all five specifications
What is the best model for the data based on AIC?
- Impulse Responses on GDP from 1sd tbill shock with the ordering as
GDP, Inflation, FX, tbill, US_tbill
What is 1 sd tbill shock?
What is the impact on GDP for 1 month = 4 month = 12 month=
GRAPH and Table
Repeat with this ordering
CAN_GDP, IPP, Inflation, US_GDP, OIL
GRAPH and Table
What is the impact on GDP for 1 month = 4 month = 12 month=
- Forecast GDP growth for the next two years