Temple University

Department of Economics

Economics 616

Univariate Time Series

You will need three data files with a single series in each: Blaster, Mitre , and Celgene. The series are annualized daily real yields for the commercial paper of three firms: Blaster, Mitre, and Celgene.

1. Plot the series for each firm. Do you believe the data to be stationary? Why?

2. For each firm compute the mean and variance for two different subperiods. For each firm do a simple t-test for equality of means. Also do a simple chi square or F-test for equality of variances (look in your baby stat book for this). Do you still believe the data to be stationary? In what sense?

3. For each firm compute the sample autocovariance for k=0,1,2,...,6. Now compute the sample autocorrelations.

4. For each firm compute the sample partial autocorrelations.

5. For each firm plot the sample ACF's and PACF's.

6. What do you believe to be the ARMA(p,q) for each firm.

7. Estimate the parameters of the ARMA process for each firm.