Econ 112: Macroeconomic Data Analysis 1. Using the log of the Real GDP data for your assigned country, run an Augmented Dickey Fuller test on the data. Do you obtain evidence consistent with one or more stochastic trends being present in your data? Please explain. 2. Repeat the exercise above for your data on Unemployment Rate, CPI Inflation, and the 3-Month Interest Rate. 3. Using the log of the level of Real GDP for your assigned country, estimate the cyclical fluctuations of Real GDP using: (i) the HP filter; (ii) the Baxter and King filter; (iii) the Hamilton filter. Feel free to set the parameters of the filters (λ, pL , pU and h) at your preferred values. Are there important differences in the estimated measures of cyclical fluctuations across the three filtering methods? Please explain. 4. Please repeat the analysis of point 3 for your Unemployment Rate data. 5. Please attach the R-script used for all the above. 1
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