The empirical exercises in this course are created to help you carry out the empirical analyses required for the assignments. The exercises provide step-by-step instructions on how to estimate the various models in OxMetrics, how to interpret the results, etc.

If you find that you don't need to complete the empirical exercise, spend your time wisely and just work directly with the assignment.

Below, you can download a pdf document with the problem set containing the empirical exercises.

Problem Set 3B.pdf.

During this empirical exercise, you can choose to work with either Exercise 3.6 or 3.7. Exercise 3.6 guides you through the steps of an Engle-Granger two-step cointegration analysis for Danish consumption, while Exercise 3.7 guides you through the steps of a cointegration analysis based on the ADL/ECM models using the same data. For Assignment 3, you can choose which of these two cointegration approaches you prefer to use.

Data and OxMetrics Program

Data files: ConsumptionData.in7 and ConsumptionData.bn7.

Algebra file: ConsumptionData.alg.

Videos

Video: The Augmented Dickey-Fuller Unit Root Test in OxMetrics (10 minutes).
The video shows you how to estimate an autoregressive model in OxMetrics, perform model-selection to find the preferred model, and then carry out the Augmented Dickey-Fuller unit root test.

Video: The Engle-Granger Two-Step Cointegration Analysis in OxMetrics (10 minutes).
The video shows you how to perform a cointegration analysis based on the Engle-Granger procedure.

Video: Single-Equation Cointegration Analysis Based on the ADL-ECM Model in OxMetrics (10 minutes).
The video shows you how to perform a cointegration analysis based on the ADL and ECM model.

Online Tutorial for Empirical Exercise 3.6

In the online tutorial, we try to guide you through each of the questions in the exercise by combining explanations, graphs, hints, feedback, and quizzes.

Get Started

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Online Tutorial for Empirical Exercise 3.7

In the online tutorial, we try to guide you through each of the questions in the exercise by combining explanations, graphs, hints, feedback, and quizzes.

Get Started

Quick Menu: Overview Q1 Q2 Q3 Q4 Q5 Q6 Q7 Feedback