The idea for theprojectis for you to complete one econometric study based on 2-3 time-series (TS). There are no particular page limitations, but theprojectshould be submitted as two files: one for...

The idea for theprojectis for you to complete one econometric study based on 2-3 time-series (TS).

There are no particular page limitations, but theprojectshould be submitted as two files: one for theprojectand one for appendix. Either PDF or MS Word file.

Theprojectshould be readable like a journal paper.It should have an introduction, research question(s), data presentations, analysis/models and conclusion.

The appendix should have output from the software you are using, additional graphs, etc.

Roughly speaking, you can follow the textbook for guidance (except Chs.1 and 3).

1. Use Ch.2 for preliminary investigation, including ACF, PACF, etc.


2. Use Ch. 4 for testing of unit roots, stochastic and deterministic trends.


3. Use Ch. 5 to build VAR model(s)


4. Use Ch. 6 to test for cointegration and build ECM.

Data. Pick two or more time-series for thisproject.

There are 3 sources and zipped data on Blackboard (BB) \Lessons\ Source data forFinalproject\

1. FRED datahttps://fred.stlouisfed.org/tags/series
   
   FRED has wide variety of US and world macroeconomic data.


2. Data from a TS book by Brockwell and Davis, includes data dictionary; data on BB.


3. Data from famous forecasting competitions (Makridakis M-competitions); data on BB.
   
   https://forecasters.org/resources/time-series-data/
   

It would be valuable if the research question is driven by particular macroeconomic idea. Like, the dynamics of different interest rates, or exchange rates, GDP and something …
BUT it is okay if the 2-3 selected TS are loosely related.
If you use the M-competition data, you will not know their real names. So, it is okay to say “I will investigate TS # and TS # from ….”