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ECN 340 Further Econometrics
1 Rubric
1. This assignment consists of a research-based question. This project is designed to test skills in model building and statistical reasoning for the choice of the model. In marking this work particular attention will be paid to the following:
Use of economic reasoning to construct models.
Skill in using computer software, STATA, to analyse the data and perform appropriate regressions, model selection criteria and relevant tests.
Choice of appropriate statistical analyses and refinement of models.
Demonstrate a knowledge of the literature: why overlooking fiscal "news" shocks leads to implausible estimates?
Conclusions and appropriate interpretations of the results.
Overall structure and presentation of the report.
Ability to explain your work.
2. This assignment is worth 45% of the total marks for this module.
3. The pass mark for this module is 40% overall and there is a minimum mark required for every component of 30%.
4. This assignment must be submitted by 12:00 noon on Monday the 11th of November 2024.
5. Any assignment received after 12:00 noon on Monday the 11th of November 2024 will be deemed late and subject to the Schoolís late submission policy.
6. Any student caught plagiarizing or permitting others to plagiarize their work will receive a mark of zero on this assignment.
2 Instruction
1. Submit the coursework report through Turnitin on Blackboard.
2. Please ensure that you have read the assessment guidelines pro-vided in the UG Student Handbook, including late penalties, assessment cover sheets, Turnitin submission requirements, extension requests and extenuating circumstances.
3. The answers must be word-processed. The equations should be typed using the Word equation editor.
4. The assignment must be electronically submitted (in PDF format via Turnitin) by the above stated deadline.
5. Number all equations or diagrams that you wish to refer to in your answer. All necessary steps should be provided.
6. Unless otherwise instructed, all hypothesis tests should be conducted at the 5% signiÖcance level.
7. The page limit for the report is of 20 pages of A4 (Arial font, size 12, double spacing, minimum 2cm margins all around). This includes the text, diagrams & equations. Any material which exceeds this page limit will not be marked.
8. You must submit your STATA do Öle along with the typed report.
9. Any change to assessment arrangements will be announced via Blackboard and email.
3 Research Question
What is the role of "News" on Goverment Spending in an Open Economy. Is there a perfect foresight problem?
4 Data
1. The data set for this project is provided in the excel file named, ''US_Quarterly macro data.xls''. The dataset records quarterly
data for the period 1982Q1 - 2019Q4. The ''US_Quarterly macro data.xls'' file contains the following eight quarterly time series.
News: This is forecast revision about future government expenditures
Gov: Government Expenditures
COV: Private consumption
INV: Gross Capital Formation (Investments).
REXR: This is real effective exchange rate
NEXP_GDP: This is the ratio of net exports (exports minus imports) to real GDP
5 Guidance
The introduction should be based on the 4 references and should be no more than 1 page. On the basis of these references, you will introduce the research question. You will need to emphasise why the research question is important and what are the key findings in the literature.
These four academic papers use econometric techniques that are more advanced than multiple regression. You are expected to use the relevant methodology used in the literature. In doing so, you are expected to explain certain shortcomings of the methodology due to modelling market expectations. You also need to explain how you have to modify your model to account for market expectations. These papers are useful because of their econometric model, conclusions and also because of their introductions which make a compelling case for producing the report.
Your econometric analysis should be based on the data extracted from Blackboard.
You need to explain if you transform any of the variables in any way.
You need to explain what your analysis finds and conclude. Then give a recommendation to the policy makers.
Important graphs and equations (based on STATA) must be included within the report.
Any work cited must be properly referenced using Harvard referencing style. You do not need to include the textbook or lecture slides in your reference list.
Please have in mind that the purpose of this assessment is to test your understanding of advanced econometric data analysis and multiple regression by evaluating how well you can use your knowledge of econometrics and statistics to answer a question of practical importance. Thus, the emphasis is on your data analysis and how you communicate your results.