- Submitted By: Scorfy-Ajeigbe
- Date Submitted: 11/10/2015 6:43 AM
- Category: Business
- Words: 1120
- Page: 5

GENERAL INSTRUCTIONS

1. The assignment must be word-processed.

2. The whole assignment must be no more than 4,000 words in length. A 10% mark deduction will be made to assignments that are more than 400 words over the limit.

3. The assessment criteria detailed overleaf will be used to mark you assignment. Please bear the criteria in mind when preparing your assignment.

4. The assignment is worth 100% of the total module mark (Part A (50%) and Part B (50%)).

5. Part A and Part B must be submitted separately in print and electronically to the dropbox in the learning room.

6. Part A has a 2,000 words limit EXCLUDING tables, graphics, Eviews Outputs and references

7. Part B has also a 2,000 words limit BUT INCLUDES table, graphics and references. Eviews outputs should be put on appendix

8. ALL QUESTIONS MUST BE ANSWERED

9. THIS IS AN INDIVIDUAL ASSIGNMENT

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Part A (50% of the marks)

Go to NOW and download the data set called Assessment 2012 ustbill. The data set is provided as an excel file. The data set contains the monthly yields of the US 3-Month Treasury bill (USTB3) and the US 6-Month Treasury bill (USTB6) for the 1981M1 to 2010M1 period. Import the data into Eviews and perform the following (Tip: does not use the logarithm of the series):

1. Using only the USTB3 series examine the autocorrelation and partial autocorrelation functions also test the series for stationarity using both the ADF and KPSS tests. Based on your findings answer the following:

a. Can you tell if the series is stationary only using the autocorrelation and partial autocorrelation functions? (If yes or no explain why)

b. What are the null and alternative hypotheses of the ADF and KPSS tests? What did the tests tell you? Does the 3-Month Treasury bill contain unit-root or not?

c. If non- stationary what does it need to be done in order to induce stationarity into the series? (Explain)

d. Explain what types of...