question archive 5) Consider the U
5) Consider the U
Subject:StatisticsPrice: Bought3
5) Consider the U.S. monthly 30-year conventional mortgage rates from April 1971 to November 2011. The data are available from FRED and are in the file m-morgfed-7111.txt (year, mon, day, morg, fed). (a) Build a pure time series model for the differenced monthly mortgage rate. Perform model checking and write down the fitted model. (b) Mortgage rate is known to depend on the Federal Funds rate. Build a time series model for the mortgage rate using the lag-1 effective Federal Funds rate as an explanatory variable. Perform model checking and write down the fitted model. (Hint: using the differenced series due to the unit root)
