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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

Ees504: Macroeconomics Question Paper

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