[SOLVED] Advanced Time Series Modelling
Coursework Brief:You must be aware that only you share responsibility for any academic integrity breaches or other issues that may arise from your coursework submission. Rubric I do expect tables / graphs / diagrams in this assignment (embedded in the main text).Each table, graph or diagram will count as 25 words. Any table/graph must be explained contextualizing the results to the context of the question. Remember that the graphs and tables you present are properly contextualized and form an important aspect of our explanations. Additional graphs and tables can be put in the appendix as well as the output from any statistical software you have used for the analysis.There are TWO compulsory questions for this Assignment.Question OneBackground information for Question OneIn Question One, we have provided cross-market time series data for Bitcoin (one of the popular cryptocurrencies floating in the market). The Bitcoin is traded in various currencies, such as in Euros, USD, Korea, etc. The data have been collected from Coincheck (one of the platforms that provides aggregate price data for Bitcoin). In the Blackboard site of the course (see Assignment folder), we have included Bitcoin price data for six exchange markets (Europe, USA, Australia, Korea, Japan, Indonesia).You can choose ANY file(s) depending on your interest. Eviews, Stata, R, Python or other any econometric software may be used for empirical estimation purpose.Tasks for Question One(1)By plotting the selected Bitcoin price series explain if you find any trend in the price behavior. Use Hodrick-Prescott (H-P) Filtering Technique and Hamilton Filtering Techniques respectively to extract the ‘cycles’ from the ‘trends’. Plot the Autocorrelation Function and comment on the persistence behavior of the series.(2)Test for (non-)stationarity in the selected series by using Augmented Dickey-Fuller, Phillips-Perron, and KPSS tests. Use options of intercept with and without trend term to compare your results. What implications do the presence or absence of a unit root imply for the selected Bitcoin price regarding weak, strong, semi-strong efficiency of the Bitcoin market?(3)Assume that the Bitcoin series you selected is neither I(1) nor I(0). Then what would an I(d)with 0
