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Lab Five

Lab Five. Dark Northern Spring Wheat. Import price in dollars in Japan: dnsj. Import Price !975:11 – 1981:10. Identification. Trace Histogram Correlogram Unit Root test. Histogram. First difference of DNSJ. Histogram. DNSPJT.

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Lab Five

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  1. Lab Five

  2. Dark Northern Spring Wheat • Import price in dollars in Japan: dnsj

  3. Import Price !975:11 – 1981:10

  4. Identification • Trace • Histogram • Correlogram • Unit Root test

  5. Histogram

  6. First difference of DNSJ

  7. Histogram

  8. DNSPJT • Export price in Dollars from Pacific Ports to Japan (lagged one) Plus the freight rate (lagged two)

  9. Two random walks • But they do not drift away from one another • Difference = dnsj –dnspjt = japmminx

  10. Two random walks moving together

  11. Co-integrated time series

  12. Identifying their difference

  13. Histogram

  14. Modeling the Difference

  15. Validating the model

  16. Validating the Model

  17. ARCH LM Test

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