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EC9100
THE UNIVERSITY OF WARWICK
May Examinations 2009/2010
Econometrics B

Time Allowed: 3 Hours
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1
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Describe
in detail the ADF unit-root test and explain how to use it to investigate whether two
economic time series are cointegrated
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2
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Explain why it might be important for the tests that you describe to
additionally conduct other diagnostic tests of the equation
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3
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Discuss
the interpretation of ratios of coefficient estimates in this model
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4
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Explain how you would construct suitable diagnostic tests for such a model
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5
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Explain how structural VARs (SVARs) provide a
solution to this problem, and discuss whether a SVAR is superior to using a Choleski
decomposition
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Describe how vector autoregressions (VARs) can be used (a) to test the expectations
theory of the term structure of interest rates, and (b) to estimate the number of
cointegrating vectors
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7
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Outline the application of GMM to testing Hall’s
rational-expectations permanent income hypothesis
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What additional information do interval and density forecasts convey relative to point
forecasts? Describe a class of model commonly used to model volatility (or
conditional variance), and the usefulness of such models for conveying forecast
uncertainty
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2
(End)



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