Financial Econometrics Assignment Example | Topics and Well Written Essays - 500 words

Financial Econometrics - assigning ExampleThus, the serial publication has a significant autocorrelations across the years. However, compared to other years, lag 1, 5, 11 and 31 energize larger partial autocorrelations.The above plot represents the difference in log of real in the flesh(predicate) fluid income. This info shows a stationary trend whereby the information points assume a straight line. Moreover, the graph shows that the data return a constant mean and variance. This implies that the first difference of the series pass ons stationarity.The above graph represents the autocorrelations of DLrpdi series whereby all the years show significance autocorrelations. However, compared to other years, year 4 and year 10 have larger autocorrelations due to large variations.The above graph is a representation of the log of real personal consumption data over time. This series shows an upward trend. This implies that this variable has an upward trend across the years. This dat a is non-stationary since it is increasing with the change of time.The graph above shows autocorrelation of Lrc. ACF is significant across the years. At lag 1 it is rather high and it has a decreasing uniform trend across the years implying that the data is not stationary.The above graph represents the partial autocorrelation of Lrc series whereby all the years show significance autocorrelations. However, compared to other years, year1, year 3 and year 4 have larger autocorrelations due to large variations.The above plot represents the difference in log of real personal consumption. This data shows a stationary trend whereby the data points assume a straight line. Moreover, the graph shows that the data has a constant mean and variance. This implies that the first difference of the series achieve stationarity.Therefore, since the p-values at lag 0 and lag 1 is less than 0.05 in the above tests, we fail to conduct the null hypothesis which states that the difference in the Lrpdi an d Lrc show a unit root the difference does