- 10 Suppose That A Researcher Has Two Series Of Data St And Ayt Which Measures The Term Spread St 3 Month Treasury Bi 1 (52.32 KiB) Viewed 85 times
10. Suppose that a researcher has two series of data, St and Ayt, which measures the term spread St (3-month treasury bi
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10. Suppose that a researcher has two series of data, St and Ayt, which measures the term spread St (3-month treasury bi
10. Suppose that a researcher has two series of data, St and Ayt, which measures the term spread St (3-month treasury bill rate minus 10-year government bond rate) and changes in industrial production Ayt. He estimates a VAR(1) with the following set of coefficients: @it (Δy, S * )=(2001) (0.75 -0.08 (Ay1 + 0.32 SA del 0.27 2t Which of the statement below is correct? (A) (B) (C) (D) (E) The characteristic roots of the system are 0.94 and 1.21. The characteristic roots of the system are 0.69 and 0.38. The characteristic roots of the system are 0.55 and 0.38. The system is non-stationary. None of the above.