Estimating models for US industrial production growth rates
Posted: Sun Oct 21, 2012 6:07 am
I have an assignment to estimate the following models for US industrial production growth rates:
IPt = alpha + et
IPt = alpha + beta (TNXt - TBILLt) + et
IPt = alpha + beta (TNXt - TBILLt) + phi IPt1 + et
IPt = alpha + beta (TNXt -TBILLt) + theta et-1 + et
where et ~ N(0;sigma squared), the data runs from April 1954 to May 2009, IPt are the growth rates of US industrial production, TNX, is the US 10 year treasury bill, TBILL, is the US 3 year treasury bill. For each model I am asked to compute the fitted values E[IPt |TNXt, TBILLt, It-1] where It-1 is the information set up to time t-1. I have the data in an excel sheet attaached.
And another question is: Give an economic interpretation to the regressor (TNXt - TBILLt). Why should it matter to explain industrial production? Should we include only TNXt or TBILLt? Justify your answers.
Any hint much appreciated.
IPt = alpha + et
IPt = alpha + beta (TNXt - TBILLt) + et
IPt = alpha + beta (TNXt - TBILLt) + phi IPt1 + et
IPt = alpha + beta (TNXt -TBILLt) + theta et-1 + et
where et ~ N(0;sigma squared), the data runs from April 1954 to May 2009, IPt are the growth rates of US industrial production, TNX, is the US 10 year treasury bill, TBILL, is the US 3 year treasury bill. For each model I am asked to compute the fitted values E[IPt |TNXt, TBILLt, It-1] where It-1 is the information set up to time t-1. I have the data in an excel sheet attaached.
And another question is: Give an economic interpretation to the regressor (TNXt - TBILLt). Why should it matter to explain industrial production? Should we include only TNXt or TBILLt? Justify your answers.
Any hint much appreciated.