. In estimating a regression based on monthly observations from January 1987 to December 2002 inclusive, you find that the coefficient on the independent variable is positive and significant at the 0.05 level. you are concerned, however, that the t-statistic on the independent variable may be inflated because of serial correlation between the error terms. Therefore, you examine the Durbin–Watson statistic, which is 1.8953 for thisregression.Based on the value of the Durbin Watson statistic, what can you say about the serialcorrelation between the regression residuals? are they positively correlated, negativelycorrelated, or not correlated at all?Compute the sample correlation between the regression residuals from one period andthose from the previous period.Perform a statistical test to determine if serial correlation is present. assume that thecritical values for 192 observations when there is a single independent variable are about 0.09 above the critical values for 100 observations.

Answered: In estimating a regression based on…

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

Related questions

Question

. In estimating a regression based on monthly observations from January 1987 to December 2002 inclusive, you find that the coefficient on the independent variable is positive and significant at the 0.05 level. you are concerned, however, that the t-statistic on the independent variable may be inflated because of serial correlation between the error terms. Therefore, you examine the Durbin–Watson statistic, which is 1.8953 for this

regression.