Let rt denote the interest rate for three-month treasury, Macroeconomics

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Let rt denote the interest rate for three-month treasury

Question: a. Let Rt denote the interest rate for three-month treasury bills. Estimate an ADL(1,4) model for ?Yt using lags of ?Rt, as additional predictors. Comparing the ADL(1,4) model to the AR(1) model, by how much has the 2 changed?

b. Is the Granger causality F-statistic significant?

c. Test for a break in the coefficients on the constant term and coefficients on the lagged values of ?R using a QLR test. Is there evidence of a break?

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Macroeconomics: Let rt denote the interest rate for three-month treasury

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Macroeconomics: Let rt denote the interest rate for three-month treasury

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