Ees504: Macroeconomics Question Paper
Ees504: Macroeconomics
Course:Bachelor Of Economics
Institution: Kenyatta University question papers
Exam Year:2012
KENYATTA UNIVERSITY
UNIVERSITY EXAMINATIONS 2011/2012
FIRST SEMESTER EXAMINATION FOR THE DEGREE OF MASTER OF
ECONOMICS (ECONOMETRICS)
EES 504:
MACROECONOMETRICS
=================================================================
DATE: Thursday 1st December 2011
TIME: 9.00 a.m – 12.00 Noon
INSTRUCTIONS
Attempt ALL questions
Question 1
Define the concept of structural break in time series and using (1989) model and give
explanation for
i)
break in level
ii)
break in slope
iii)
simultaneous break
Question 2
Define Sims modeling philosophy. Assuming stationary variable use an hypothetical three
variable model to model the following and in each case interpret the coefficients.
i)
Granger causality
ii)
Impulse response
Page 1 of 2
Question 3
Explain the following terms and discuss their use in timeseries econometrics
i)
ADF and KPS
ii)
Johansen test and Dickey Fuller tests
iii)
DF with trend and drift and DF which is random walk
iv)
Weak and strict from and stationarity
Question 4
A man and his dog are walking from a bar. The man is drunk hence staggering while the dog
follows scents thus wondering aimlessly. The dog is however protective thus makes sure it
stays close to the owner. The vertical axis measure how far they have drifted from the bar
while the horizontal axis measures how far they have drifted from their steps. If x1 and y1
represent distance covered by the man and the dog respectively, model:
i)
their meanders
ii)
long term relation
iii)
short run relation
iv)
error correction model and interpret the coefficients
Page 2 of 2
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