You need to find the effects of US 10 Year Yield and US 3 month Treasury Rates on the following:
2) USD/INR Currency
3) India 10 Year G-Sec
For this you will need to perform the following econometric tests using Python:
1) Unit root test for stationarity (Augmented Dickey-Fuller Test) & Pillips-Perron test & Kwiatkowski–Phillips–Schmidt–Shin Test)
2) Check for cointegration using Johansen procedure (done through the Vector Autoregressive (VAR) approach)
3) Vector Error Correction Model to check for long-run causality and short-term dynamics if there is an evidence of cointegration relationship among the variables.
Note- All statistical tests should be carried out at 5% level of significance. The excel file containing the data to conduct these test will be provided when the project is awarded. You will need to write clear explanations for the procedures followed, supply the code, and explain the results [Removed by Freelancer.com Admin for offsiting - please see Section 13 of our Terms and Conditions]
Hi. I'm an engineer of statistics and applied economics, I have a large experience in dealing with data and statisticl programs like R, Python, I can do this job without errors.