Project Background:
With the deepening development of global economic integration, the influence of exchange rate fluctuations on international trade has become increasingly significant. This project requires students to utilize econometric methods to analyze the impact of exchange rate changes on international trade (such as exports or imports). Through this project, students will gain proficiency in establishing and analyzing econometric models and conducting empirical analysis using EViews software.
Project Objectives:
1. Integration of Theory and Practice:
Apply econometric theory to analyze practical international financial issues.
2. Skill Enhancement:
Comprehensive assessment of students’ understanding and application abilities in all aspects of establishing and analyzing econometric models, including model specification, data description, parameter estimation, hypothesis testing, etc.
3. Software Operation: Proficiency in using EViews software for data processing, model building and diagnostic analysis.
Project Content:
Complete the following tasks based on the data provided by the project:
1. Data Description:
Conduct descriptive statistical analysis of all variables, including mean, standard deviation, minimum, maximum, skewness, kurtosis, etc. Draw time series plots of variables to observe trends and fluctuations.
2. Model Specification:
Based on economic theory, establish a preliminary regression model. For example:
Where:
TV: Total Trade Volume
ER: Exchange Rate
IR: Inflation Rate
Explain the expected sign and economic significance of each variable.
3. Parameter Estimation:
Use EViews to perform Ordinary Least Squares (OLS) regression to estimate model parameters. Explain the meaning and significance of regression coefficients.
4. Hypothesis Testing:
Conduct t-tests to check if each regression coefficient is significantly different from zero. Perform F-tests to assess the significance of the overall model.
5. Multicollinearity Testing and Correction:
Calculate the correlation coefficient matrix or Variance Inflation Factor (VIF) among variables to check for multicollinearity. If multicollinearity exists, consider removing redundant variables or using other methods (such as stepwise regression) for correction.
6. Heteroskedasticity Testing and Correction:
Use the White test or other appropriate methods to check for heteroskedasticity in the model.If heteroskedasticity is present, consider using Weighted Least Squares (WLS) or other correction methods.
7. Autocorrelation Testing and Correction:
Use the Durbin-Watson (DW) test or Lagrange Multiplier (LM) test to check for autocorrelation in the model. If autocorrelation exists, consider using the Cochrane-Orcutt iterative method or other correction methods.
8. Introduction of Dummy Variables:
Based on economic background, introduce dummy variables to control for potential influencing factors. For example, introduce quarterly dummy variables to control for seasonal factors or policy dummy variables to control for the impact of policy changes. Re-estimate the model and explain the meaning of the dummy variable coefficients.
9. Model Prediction and Policy Analysis:
Use the estimated model to make predictions and analyze the future impact of exchange rate changes on international trade. Conduct policy analysis to discuss the potential impact of exchange rate policies on international trade.
10. Writing the Project Report:
Prepare a detailed project report including model specification, estimation results, testing processes, correction methods, conclusions, and policy recommendations. The report should contain screenshots of all EViews outputs and analytical explanations.
Scoring Criteria:
Adequacy of descriptive statistical analysis of the data.
Reasonableness of model specification, accuracy of parameter estimation, rigor of hypothesis testing.
Effectiveness of identification and correction measures for multicollinearity, heteroskedasticity, and autocorrelation.
Clarity, logic, depth, and breadth of analysis in the report.
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