Applied Modelling and Data Analysis

In this project, you are required to carry out an applied time-series econometric work, approximately 3500 words (appendix and computer outputs are not counted). The topic area is the behaviour of asset prices. Using data on the file to be distributed in class, you will be allocated the share price for one or a dozen companies (unique to everybody), market index, Treasury bill interest rate and industry production during the period between January 2000 and February 2007. You are required to check time series for stationarity by applying the formal unit root tests such as ADF test. Then you have to estimate some time series dynamic models such as ARMA or ARIMA, Engle-Granger Two Stage method to cointegration, ARDL, Error Correction Model, VAR, Granger Causality, VECM, ARCH or GRACH and so on. You also need to demonstrate some evidence of experimentation, e.g., dropping insignificant variables, imposing restrictions, conducting stability tests, comparing and contrasting the short-run and long-run coefficients, etc. (Required program for the empirical analysis is STATA. One independent and two independent variables are going to be picked up from the given data. Also all the calculations needs to be shown on the paper as tables clearly.)

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