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Consider the following simple relationship between aggregate savings St and aggregate income Yt: St= a + BYt + εt, t = 1, ..., T. For some country this relationship is estimated by OLS over the years 1956-2005 (T = 50). The results are given below: = Variable Coefficients Constant 38.90 Y 0.098 22.57, R² = 0.93, DW = 0.70 Standard error 4.57 0.009 where ô is the standard error of regression, R² is the multiple correla- tion coefficient, and DW is the Durbin-Watson statistic. (a) Explain why the result indicate that there may be a problem of positive autocorrelation. Can you give arguments why in eco- nomic models positive autocorrelation is more likely than nega- tive one?

Consider the following simple relationship between aggregate savings St and aggregate income Yt: St= a + BYt + εt, t = 1, ..., T. For some country this relationship is estimated by OLS over the years 1956-2005 (T = 50). The results are given below: = Variable Coefficients Constant 38.90 Y 0.098 22.57, R² = 0.93, DW = 0.70 Standard error 4.57 0.009 where ô is the standard error of regression, R² is the multiple correla- tion coefficient, and DW is the Durbin-Watson statistic. (a) Explain why the result indicate that there may be a problem of positive autocorrelation. Can you give arguments why in eco- nomic models positive autocorrelation is more likely than nega- tive one?

MATLAB: An Introduction with Applications
MATLAB: An Introduction with Applications
6th Edition
ISBN:9781119256830
Author:Amos Gilat
Publisher:Amos Gilat
Chapter1: Starting With Matlab
Section: Chapter Questions
Problem 1P
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Consider the following simple relationship between aggregate savings St and aggregate income Yt: St= a + BYt + εt, t = 1, ..., T. For some country this relationship is estimated by OLS over the years 1956-2005 (T = 50). The results are given below: = Variable Coefficients Constant 38.90 Y 0.098 22.57, R² = 0.93, DW = 0.70 Standard error 4.57 0.009 where ô is the standard error of regression, R² is the multiple correla- tion coefficient, and DW is the Durbin-Watson statistic. (a) Explain why the result indicate that there may be a problem of positive autocorrelation. Can you give arguments why in eco- nomic models positive autocorrelation is more likely than nega- tive one?
Transcribed Image Text:Consider the following simple relationship between aggregate savings St and aggregate income Yt: St= a + BYt + εt, t = 1, ..., T. For some country this relationship is estimated by OLS over the years 1956-2005 (T = 50). The results are given below: = Variable Coefficients Constant 38.90 Y 0.098 22.57, R² = 0.93, DW = 0.70 Standard error 4.57 0.009 where ô is the standard error of regression, R² is the multiple correla- tion coefficient, and DW is the Durbin-Watson statistic. (a) Explain why the result indicate that there may be a problem of positive autocorrelation. Can you give arguments why in eco- nomic models positive autocorrelation is more likely than nega- tive one?
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