/Time-Series-Project

Time Series Project in Eviews

GNU General Public License v3.0GPL-3.0

Time-Series-Project

Project in Eviews for the course Micro-econometrics, Causal Inference and Time Series Econometrics, module Time Series Econometrics

Introduction

The aim of the project is to analyse the dataset that contains US dollar LIBOR interbank interest rates. It contains two type of maturity observations of the period from 1961 to 2008: monthly short-term and yearly long-term. The study is focused on searching for relation between the long-term and short-term maturity of interest rates, checking for the cointegration, the dependence and the response between the two variables.

Table of Contents

  • 1 Introduction
  • 2 Unit root test
    • 2.1 Unit root test for short-term rates
    • 2.2 Unit root test for long-term rates
    • 2.3 Unit root test for spread
  • 3 Test for Cointegration
    • 3.1 Engle-Granger cointegration test
  • 4 Vector Autoregression (VAR)
  • 5 Vector Error Correction Model (VECM)
    • 5.1 Application of VECM
    • 5.2 Granger Causality test on VEC
  • 6 Impulse response function (IRF)
  • 7 Conclusion