- Submitted By: anbaarasan
- Date Submitted: 09/19/2013 3:05 PM
- Category: Business
- Words: 1101
- Page: 5
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Econometric Analysis – Assignment 1

ARIMA Modeling using eViews

By

Anbarasan R (PGP12006)

Variable plot of foreign currency assets:

Observation:

The graph is rising exponentially. And it’s not a Stationary series.

Variable correlogram of foreign currency assets:

Observation:

* Partial correlation is significant only for the first variable it’s a AR(1) model.

* The variables are continuously decaying indicating a MA model.

Plot of Log(Assets)

Observation:

The Graph is still exponential. But the Trend has died down.

Correlogram of Log (Assets):

Observation:

Autocorrelation is decaying and Partial correlation is significant for only first value. Hence it’s a AR(1) process.

Statistics (unit root – only intercept)

Null Hypothesis: LOG(ASSETS) has a unit root | |

Exogenous: Constant | | |

Lag Length: 1 (Automatic - based on SIC, maxlag=18) |

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| | | t-Statistic | Prob.* |

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Augmented Dickey-Fuller test statistic | -3.726936 | 0.0040 |

Test critical values: | 1% level | | -3.440584 | |

| 5% level | | -2.865946 | |

| 10% level | | -2.569175 | |

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*MacKinnon (1996) one-sided p-values. | |

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Augmented Dickey-Fuller Test Equation | |

Dependent Variable: D(LOG(ASSETS)) | |

Method: Least Squares | | |

Date: 08/27/13 Time: 01:14 | | |

Sample (adjusted): 8/20/2001 8/05/2013 | |

Included observations: 625 after adjustments | |

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Variable | Coefficient | Std. Error | t-Statistic | Prob. |

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LOG(ASSETS(-1)) | -0.002742 | 0.000736 | -3.726936 | 0.0002 |

D(LOG(ASSETS(-1))) | 0.185373 | 0.039296 | 4.717404 | 0.0000 |

C | 0.027185 | 0.006612 | 4.111542 | 0.0000 |

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R-squared | 0.064598 | Mean dependent var | 0.003286 |

Adjusted R-squared |...