2. [7+3+5+10] Consider the following modelwhereetis i.i.d and |p| < 1.Yt= Bo+B1xt + utUt= put-1 + et, t = 1, 2, … … · ‚T,(a) Show that variance of the usual OLS estimator (0² / Σ(x+ - x)²) underestimates the true varianceof the OLS estimator.(b) The value of the Durbin-Watson statistic turned out to be 1.4. Compute an estimate of p, the serialcorrelation parameter, based on the value of the Durbin-Watson statistic.(c) Suppose you also wish to test for serial correlation using Durbin's alternative test (Durbin's h-test) at the 5 percent significance. After estimating the original regression on the entire 80 sam-ples, you saved the residuals and estimated the following auxiliary regression.Et=0.07 + 0.08æt+ 0.3 êt_1(0.04) (0.02)(0.1)(Standard errors are in parentheses.) Give the value of the test statistic, and your conclusion(accept or reject the null hypothesis of no serial correlation).(d) Regardless of your answers to parts (a)-(c), suppose you believe that serial correlation is indeedpresent. Elaborate on FGLS procedure.

(a) When serial correlation is present, the variance of the standard OLS estimator, which is based…

Answered: 2. [7+3+5+10] Consider the following…

MATLAB: An Introduction with Applications

6th Edition

ISBN:9781119256830

Author:Amos Gilat

Publisher:Amos Gilat

Chapter1: Starting With Matlab

Section: Chapter Questions

Problem 1P

See similar textbooks

Similar questions

15. The following output was obtained from a multiple regression analysis. Analysis of Variance DF Source S MS Regression Residual Error 5 100 20 20 40 2 Total 25 140 Predictor Coefficient SE Coefficient t Constant 3.00 1.50 2.00 X1 4.00 3.00 1.33 X2 3.00 0.20 15.00 X3 0.20 0.05 4.00 X4 -2.50 1.00 -2.50 Xs 3.00 4.00 0.75 a. What is the sample size? b. Compute the value of R2. c. Compute the multiple standard error of estimate. d. Conduct a global test of hypothesis to determine whether any of the regression coefficients are significant. Use the .05 significance level. e. Test the regression coefficients individually. Would you consider omitting any vari- able(s)? If so, which one(s)? Use the .05 significance level.
Suppose that a random man's weight from a certain population is M~ Normal (μ = 200, o²49) and a random woman's weight is W ~ Normal( 140, o² = 25). If M and W are independent, what is the variance of the difference between a man's weight and a woman's weight, i.e. Var (M-W)? (a) 340 (b) 24 (c) 140 (d) 200 (e) None of the above
Imagine a family member looks over your shoulder as you look at the variance equation Σki=1(xi − μ)2P(X = xi) and asks why the P(X = xi) term is there. What would you say?
Assume that the helium porosity (in percentage) of coal samples taken from anyparticular seam is normally distributed with true population variance 0.36.(a) Compute a 95% two-sided CI for the true average porosity of a certain seam if the average porosity for 20 specimens from the seam was 4.85. (b) How large a sample size is necessary if the width of the 95% two-sided CI is to be 0.5? (c) Compute a 98% upper one-sided CI for true average porosity of another seam based on 16 specimens with a sample average porosity of 4.56.show major intermediate steps.
A survey of the white and nonwhite population in a local area reveals the following annual trip frequencies to the nearest state park: X̄1 = 4.1 X̄2= 3.1 s21 = 14.3 s22= 12.0 N1= 20 N2= 16 Where the subscript '1' denotes the white population and the dubscript '2' denotes the nonwhite population. (a) assume the variances are equal, and test the null hypothesis that there is no difference between the park-going frequences of whites and nonwhites (d) Associated with the test in part (a), find a 95% confidence interval for the difference in means
Let S1^2 be the sampling variance for a random sample of twelve values (amount of mercury in the blood) and let S2^2 be the sampling variance for a random sample of ten values (amount of lead in the blood); samples from the same population were used. The population variance for mercury measurements is assumed to be twice the corresponding population variance for lead measurements. We will further assume that S1^2 is independent of S2^2. 1. Find a number b such that P [(S1^2/S2^2)<=b]=0.95 enter such a b to three decimal places b= 2. Consider the number b calculated above, find a number a such that P[a<=(S1^2/S2^2)<=b]=0.90 enter said a to three decimal places. a=
Let x = age in years of a rural Quebec woman at the time of her first marriage. In the year 1941, the population variance of x was approximately σ2 = 5.1. Suppose a recent study of age at first marriage for a random sample of 51 women in rural Quebec gave a sample variance s2 = 3.4. Use a 5% level of significance to test the claim that the current variance is less than 5.1. (a) What is the level of significance? State the null and alternate hypotheses. H0: σ2 < 5.1; H1: σ2 = 5.1H0: σ2 = 5.1; H1: σ2 < 5.1 H0: σ2 = 5.1; H1: σ2 > 5.1H0: σ2 = 5.1; H1: σ2 ≠ 5.1 (b) Find the value of the chi-square statistic for the sample. (Round your answer to two decimal places.) What are the degrees of freedom? What assumptions are you making about the original distribution? We assume a exponential population distribution.We assume a normal population distribution. We assume a uniform population distribution.We assume a binomial population distribution. (c) Find or estimate the P-value…
when using delta method to calculate variance, shouldn't [g'(μ)]^2 equal to (θ+1)^4?
(a) State the hypotheses of interest in this experiment.(b) Test the hypotheses in part (a) and draw conclusions using the analysis of variance with a = 0.05.(c) Analyze the residuals from this experiment. of variance with a = 0.05.(b) Graphically analyze the interaction.(c) Analyze the residuals from this experiment.
Compute the value of the test statistic and Conclusion

Recommended textbooks for you

MATLAB: An Introduction with Applications

Statistics

ISBN:

9781119256830

Author:

Amos Gilat

Publisher:

John Wiley & Sons Inc

Probability and Statistics for Engineering and th…

Statistics

ISBN:

9781305251809

Author:

Jay L. Devore

Publisher:

Cengage Learning

Statistics for The Behavioral Sciences (MindTap C…

Statistics

ISBN:

9781305504912

Author:

Frederick J Gravetter, Larry B. Wallnau

Publisher:

Cengage Learning

MATLAB: An Introduction with Applications

Statistics

ISBN:

9781119256830

Author:

Amos Gilat

Publisher:

John Wiley & Sons Inc

Probability and Statistics for Engineering and th…

Statistics

ISBN:

9781305251809

Author:

Jay L. Devore

Publisher:

Cengage Learning

Statistics for The Behavioral Sciences (MindTap C…

Statistics

ISBN:

9781305504912

Author:

Frederick J Gravetter, Larry B. Wallnau

Publisher:

Cengage Learning

Elementary Statistics: Picturing the World (7th E…

Statistics

ISBN:

9780134683416

Author:

Ron Larson, Betsy Farber

Publisher:

PEARSON

The Basic Practice of Statistics

Statistics

ISBN:

9781319042578

Author:

David S. Moore, William I. Notz, Michael A. Fligner

Publisher:

W. H. Freeman

Introduction to the Practice of Statistics

Statistics

ISBN:

9781319013387

Author:

David S. Moore, George P. McCabe, Bruce A. Craig

Publisher:

W. H. Freeman

SEE MORE TEXTBOOKS