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 |...