Empirical%20Project

1
Empirical Project

• Title Interest Rates and Economic Growth
• Step 1 Read and understand the paper An
  Empirical Comparison of Alternative Models of
  Short-Term Interest Rates by Chan, Karoly,
  Longstafff and Sanders, Journal of Finance (no 3,
  1992).
• Step 2 Get an empirical paper on interest rates
  and economic growth. A paper that relates
  interest rates at different maturities with some
  measure of economic growth in different
  countries.
• Step 3 Try to replicate that paper. To do that
  you have to get the data, for instance from the
  data-base ECOWIN (25-04-07 you should handle in a
  piece of paper with the title of the paper you
  are going to replicate, a brief description of
  your empirical project, and a description of the
  data you will be using)
• Step 4 Find the best univariate model for the
  two variables of step 2, having in mind the paper
  of step 1 and a forecasting criteria (10-05-07
  you should handel a piece of paper showing the
  best univariate model you have obtained).
• Step 5 Construct the best corresponding
  bivariate VAR model and the IRFs derived from it.
  
• Step 6 Analyze Granger-causality, as well as
  cointegration. If possible carry on the
  Gonzalo-Granger permanent and transitory
  decomposition of both variables.
• Step 7 Conclusions. You must handle in the
  project (No More than 3 pages) the day of the
  final exam. Remember that Science is Summary.

2
Some Hints

• Use JSTOR
• Use the NBER working papers data-base
• Use Google and Google-Scholar
• See the book by Kerry Patterson (200) An
  introduction to Applied Econometrics, a time
  series approach