Question 5 Needs Grac You want to test the time series property of three-month T

Question

Question 5 Needs Grac You want to test the time series property of three-month T-bill rates. For that purpose, you conduct a Dickey-Fuller test with the specification -0 + 1r_ 5. -0.625-0.091 r,-1 (0.261) (0.037) a) State the null hypothesis and the alternative hypothesis for this test. b) Is the series stationary or nonstationary ? Assume a critical value of 2.86 at the 5% level. c) How would the above regression change if you assumed that the three-month T-bill rate includes a trend? You are explaining to your favorite aunt just how much you enjoyed learning about time series properties in this class. In your own words, what is the purpose of the Dickey Fuller tests and why are they so important? d)

Explanation / Answer

H0 : = 0

H1 : < 0; = 1 – 1

Related Questions

Navigate

• Browse (All)
• Browse Q
• Subjects

---

---

Integrity-first tutoring: explanations and feedback only — we do not complete graded work. Learn more.