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Assignment 1

Submissions must be made via Athena. The submission should be in the 

form of a script file that conforms to the requirements of script files of 

the term paper. These requirements are found in the file assessment 

UPDATED 2020-03-18 .pdf (section 1, point 8) available on Athena under 

'Course information" . Only one file per group should be submitted. 

1. Load the data in the accompanying file indprod. txt. It contains per- 

centage change in annual industrial production in the US 1861—1989. 

2. Estimate the five models AR(p) where p 1, 2, 3, 4, 5. 

3. Use Akaike's information criterion (AIC) and compare the models. 

Which model should we choose according to AIC? 

4. Perform Ljung—Box and Jarque—Bera tests on the residuals of the se- 

lected model. What are the results? Interpret the results. 

8. 
You may use the econometric software of your choice as long as the software can 
take instructions from a script file. 
Your script file (an unformatted text file, ASCII file, preferably written in a text 
editor; file encoding UTF-8 is recommended) must meet the following 
requirements: 
a. 
b. 
c. 
d. 
e. 
f. 
g. 
Be well structured. 
Being fully commented, whether it is an R script file or a script file Sweave. 
The script the file must contain all codes that produce the test statistics, 
graphs and tables that are presented in the term paper PDF file. This 
means that the script file should contain references to the documentation 
in the PDF file. 
The script file must be fully reproduce the econometric results presented 
in the PDF from the reading of data and definitions of variables and the 
production of all charts, tables, and results in running text. 
All the pre-processing of the data shall be documented in the script file. It 
means that no data management or other calculations than those 
documented in the script should be needed to reproduce your inquiry. It 
also means that the project data files must be unedited raw data files from 
the source. 
The script file should be able to be executed without error messages in the 
so-called batch mode with the software used no matter which it is. 
Template for how the script files can be found in the files sample-r.r If you 
use another econometric software than R, your script file must follow the 
same template regarding structure, documentation, comments, etc.

 

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