YEAR GDP PDI PCE PROFITS DIVIDENDS

1970.1 2872.8 1990.6 1800.5 44.7 24.5

1970.2 2860.3 2020.1 1807.5 44.4 23.9
1970.3 2896.6 2045.3 1824.7 44.9 23.3
1970.4 2873.7 2045.2 1821.2 42.1 23.1
1971.1 2942.9 2073.9 1849.9 48.8 23.8
1971.2 2947.4 2098 1863.5 50.7 23.7
1971.3 2966 2106.6 1876.9 54.2 23.8
1971.4 2980.8 2121.1 1904.6 55.7 23.7
1972.1 3037.3 2129.7 1929.3 59.4 25
1972.2 3089.7 2149.1 1963.3 60.1 25.5
1972.3 3125.8 2193.9 1989.1 62.8 26.1
1972.4 3175.5 2272 2032.1 68.3 26.5
1973.1 3253.3 2300.7 2063.9 79.1 27
1973.2 3267.6 2315.2 2062 81.2 27.8
1973.3 3264.3 2337.9 2073.7 81.3 28.3
1973.4 3289.1 2382.7 2067.4 85 29.4
1974.1 3259.4 2334.7 2050.8 89 29.8
1974.2 3267.6 2304.5 2059 91.2 30.4
1974.3 3239.1 2315 2065.5 97.1 30.9
1974.4 3226.4 2313.7 2039.9 86.8 30.5
1975.1 3154 2282.5 2051.8 75.8 30
1975.2 3190.4 2390.3 2086.9 81 29.7
1975.3 3249.9 2354.4 2114.4 97.8 30.1
1975.4 3292.5 2389.4 2137 103.4 30.6
1976.1 3356.7 2424.5 2179.3 108.4 32.6
1976.2 3369.2 2434.9 2194.7 109.2 35
1976.3 3381 2444.7 2213 110 36.6
1976.4 3416.3 2459.5 2242 110.3 38.3
1977.1 3466.4 2463 2271.3 121.5 39.2
1977.2 3525 2490.3 2280.8 129.7 40
1977.3 3574.4 2541 2302.6 135.1 41.4
1977.4 3567.2 2556.2 2331.6 134.8 42.4
1978.1 3591.8 2587.3 2347.1 137.5 43.5
1978.2 3707 2631.9 2394 154 44.5
1978.3 3735.6 2653.2 2404.5 158 46.6
1978.4 3779.6 2680.9 2421.6 167.8 48.9
1979.1 3780.8 2699.2 2437.9 168.2 50.5
1979.2 3784.3 2697.6 2435.4 174.1 51.8
1979.3 3807.5 2715.3 2454.7 178.1 52.7
1979.4 3814.6 2728.1 2465.4 173.4 54.5
1980.1 3830.8 2742.9 2464.6 174.3 57.6
1980.2 3732.6 2692 2414.2 144.5 58.7
1980.3 3733.5 2722.5 2440.3 151 59.3
1980.4 3808.5 2777 2469.2 154.6 60.5
1981.1 3860.5 2783.7 2475.5 159.5 64
1981.2 3844.4 2776.7 2476.1 143.7 68.4
1981.3 3864.5 2814.1 2487.4 147.6 71.9
1981.4 3803.1 2808.8 2468.6 140.3 72.4
1982.1 3756.1 2795 2484 114.4 70
1982.2 3771.1 2824.8 2488.9 114 68.4
1982.3 3754.4 2829 2502.5 114.6 69.2
1982.4 3759.6 2832.6 2539.3 109.9 72.5
1983.1 3783.5 2843.6 2556.5 113.6 77
1983.2 3886.5 2867 2604 133 80.5
1983.3 3944.4 2903 2639 145.7 83.1
1983.4 4012.1 2960.6 2678.2 141.6 84.2
1984.1 4089.5 3033.2 2703.8 155.1 83.3
1984.2 4144 3065.9 2741.1 152.6 82.2
1984.3 4166.4 3102.7 2754.6 141.8 81.7
1984.4 4194.2 3118.5 2784.8 136.3 83.4
1985.1 4221.8 3123.6 2824.9 125.2 87.2
1985.2 4254.8 3189.6 2849.7 124.8 90.8
1985.3 4309 3156.5 2893.3 129.8 94.1
1985.4 4333.5 3178.7 2895.3 134.2 97.4
1986.1 4390.5 3227.5 2922.4 109.2 105.1
1986.2 4387.7 3281.4 2947.9 106 110.7
1986.3 4412.6 3272.6 2993.7 111 112.3
1986.4 4427.1 3266.2 3012.5 119.2 111
1987.1 4460 3295.2 3011.5 140.2 108
1987.2 4515.3 3241.7 3046.8 157.9 105.5
1987.3 4559.3 3285.7 3075.8 169.1 105.1
1987.4 4625.5 3335.8 3074.6 176 106.3
1988.1 4655.3 3380.1 3128.2 195.5 109.6
1988.2 4704.8 3386.3 3147.8 207.2 113.3
1988.3 4734.5 3407.5 3170.6 213.4 117.5
1988.4 4779.7 3443.1 3202.9 226 121
1989.1 4809.8 3473.9 3200.9 221.3 124.6
1989.2 4832.4 3450.9 3208.6 206.2 127.1
1989.3 4845.6 3466.9 3241.1 195.7 129.1
1989.4 4859.7 3493 3241.6 203 130.7
1990.1 4880.8 3531.4 3258.8 199.1 132.3
1990.2 4900.3 3545.3 3258.6 193.7 132.5
1990.3 4903.3 3547 3281.2 196.3 133.8
1990.4 4855.1 3529.5 3251.8 199 136.2
1991.1 4824 3514.8 3241.1 189.7 137.8
1991.2 4840.7 3537.4 3252.4 182.7 136.7
1991.3 4862.7 3539.9 3271.2 189.6 138.1
1991.4 4868 3547.5 3271.1 190.3 138.5
1
2
3
From the data given calculate DF and ADF test for the time series PCE, PDI, Profits, and Dividends. Find out if these series contain a un
How would you decide if the ADF test is more appropriate than the DF test?
Consider the dividends and profits time series given. Since dividends depend on profits, consider the following simple model:
Dividendst = β1 + β2Profits + ut
a. Would you expect this regression to suffer from the spurious regression phenomenon? Why?
b. Are Dividends and Profits time series cointegrated? How do you test for this explicitly? If, after testing, you find that they are cointeg
c. Assume Dividends and Profits are cointegrated. Then, instead of regressing dividends on profits, you regress profits on dividends. Is s