III- The regression specified for private investment is I = a1 + a2 Y + a3 CRD + u. The results from estimating the regression are presented below. The sample covers the annual series spanning from 1981-2020 (n=40). Î, = 2.4+0.75 Y, +0.45 CRD, (1.02) (0.26) (0.12) R² = 0.78 D-W-d= 1.95 where I, Y and represent real private investment, real GDP and real credits respectively. Suppose you would like to perform the test for the first order autocorrelation using the LM type test technique. Define the auxiliary regression. Also suppose you found R-squared from the auxiliary regression to be 0.082, perform the LM test for the first order autocorrelation and interpret the result.
III- The regression specified for private investment is I = a1 + a2 Y + a3 CRD + u. The results from estimating the regression are presented below. The sample covers the annual series spanning from 1981-2020 (n=40). Î, = 2.4+0.75 Y, +0.45 CRD, (1.02) (0.26) (0.12) R² = 0.78 D-W-d= 1.95 where I, Y and represent real private investment, real GDP and real credits respectively. Suppose you would like to perform the test for the first order autocorrelation using the LM type test technique. Define the auxiliary regression. Also suppose you found R-squared from the auxiliary regression to be 0.082, perform the LM test for the first order autocorrelation and interpret the result.
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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Transcribed Image Text:The regression specified for private investment is I = a1 + a2 Y + a3 CRD + u . The results from
estimating the regression are presented below. The sample covers the annual series spanning
from 1981-2020 (n=40).
III-
Î, = 2.4 + 0.75 Y, + 0.45 CRD,
(1.02) (0.26) KO.12)
R? = 0.78
D-W-d= 1.95
where I, Y and represent real private investment, real GDP and real credits respectively.
Suppose you would like to perform the test for the first order autocorrelation using the LM type test
technique. Define the auxiliary regression. Also suppose you found R-squared from the auxiliary regression
to be 0.082, perform the LM test for the first order autocorrelation and interpret the result.
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