This Problem Set Consists Of A Single Multi-Part Empirical E

This problem set consists of a single multi-part empirical exercis

This problem set consists of a single multi-part empirical exercise, (E10.1 in Stock and Watson). For this assignment, you must turn in: 1) A Stata .do script which executes all of the commands that you used 2) A Stata log file (preferably .txt, but .smcl is acceptable) capturing all of your Stata output. In addition, you must also submit in hardcopy form the answers to the qualitative questions. Make sure you can use Stata system.

Paper For Above instructions

This assignment requires performing a comprehensive empirical analysis using Stata software based on Exercise E10.1 from Stock and Watson. The core tasks include developing a complete Stata do-file script, capturing all command outputs in a log file, and providing written responses to qualitative questions related to the exercise. The purpose of this project is to demonstrate proficiency in economic data analysis, scripting, and interpretation of empirical results within the context of time series or econometric modeling.

The first step involves scripting a Stata .do file that accurately replicates all analytical procedures necessary for the exercise. This script should encompass data import, cleaning, variable generation, econometric estimations, diagnostics, and any other relevant commands. The script functions as a reproducible record of the analysis, enabling others to verify or extend the work. It is essential that every command used is properly documented within the script, with comments to clarify purpose and methodology.

Alongside the script, a log file must be produced to document every output produced by Stata during the execution of the script. This log acts as evidence of the analysis process, capturing estimation tables, diagnostic statistics, and any generated graphs or summaries. The preferred format is a plain text (.txt) file for clarity, but the proprietary .smcl format is acceptable if necessary. The log should be complete and organized to facilitate review of the results.

In addition to computational tasks, students must provide written answers to qualitative questions associated with the empirical work. These responses should interpret the results, justify methodological choices, and discuss implications. The answers need to demonstrate a thorough understanding of econometric principles and contextual knowledge relevant to the exercise.

This assignment emphasizes the importance of reproducible research practices, clear documentation, and critical interpretation of empirical findings in economic analysis. The final submissions—script, log, and hardcopy answers—must be carefully prepared and organized to showcase technical proficiency and analytical insight. It is also critical to ensure familiarity with Stata systems, including data management, command syntax, and output interpretation, to complete this exercise successfully.

References

  • Stock, J. H., & Watson, M. W. (2015). Introduction to Econometrics. Pearson Education.
  • Baum, C. F. (2013). An Introduction to Modern Econometrics Using Stata. Stata Press.
  • Verbeek, M. (2012). A Guide to Modern Econometrics. Wiley.
  • Hamilton, J. D. (1994). Time Series Analysis. Princeton University Press.
  • Stock, J. H., & Watson, M. W. (2019). Forecasting, Structural Time Series Models, and the Kalman Filter. The Econometrics Journal.
  • Cameron, A. C., & Trivedi, P. K. (2005). Microeconometrics: Methods and Applications. Cambridge University Press.
  • Greene, W. H. (2012). Econometric Analysis. Pearson Education.
  • Wooldridge, J. M. (2016). Introductory Econometrics: A Modern Approach. Cengage Learning.
  • Imbens, G., & Wooldridge, J. M. (2009). Recent Developments in the Econometrics of Program Evaluation. Journal of Economic Literature.
  • Ramsay, J. B., & Saltelli, A. (2019). Reproducible Research in Econometrics. Econometrics and Statistics.

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