Model: LIPI = LSM+LCPI+LNX+LUSD IPI = Industrial Production Index SM = Stock Market CPI = Consumer Price Index NX = Net
Posted: Tue Jul 12, 2022 12:06 pm
Model: LIPI = LSM+LCPI+LNX+LUSDIPI = Industrial Production IndexSM = Stock MarketCPI = Consumer Price IndexNX = Net ExportUSD = Exchange Rate (MYR/USD)1) Transform all data into “log” form.2) Test for stationarity using ADF (Trend and Intercept). Transferthe results into a tablein Word. Write a short conclusion on your Unit Root Test.3) Run the model above using ARDL. Use the maximum of 4 lags and SCcriteria.4) Test for serial correlations (use 2 lags) and copy and paste theresults. What is yourconclusion? Do you have to change the maximum lag selection?5) Test and show the results for CUSUM test. What is yourconclusion?6) Test for cointegration using ARDL Bound Test. Show the resultsin Word. Interpretthe results.7) Show the results for long run relation. Interpret thecoefficients that are significant(at least at 10% significance level) in long run relation. (Hint:elasticity)8) Write down the short run form of the ARDL level relation (youmay check the lecturenotes on how to transform the model to short run dynamics based onthe selectedlag from the initial Bound Test). Run the OLS for the short runform and interpret thecoefficient for error correction term. (Hint: speed ofadjustment)9) Run Granger Causality Test (Select all variables -> openas -> group> view -> GrangerCausality (2lags)). Copy and paste the results for GrangerCausality. Which variablesGranger cause IPI in Malaysia?10) Write a short conclusion on the overall relationship betweenIPI and other variablesin Malaysia based on all your tests above.