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Which of the following formulas describes of the Durbin-Watson test statistic and the coefficient of - in the dynamic regression model pus+e, where t2,..., n?

Which of the following formulas describes of the Durbin-Watson test statistic and the coefficient of - in the dynamic regression model pus+e, where t2,..., n?

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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5. The Durbin-Watson test under classical assumptions Consider the following multiple linear regression model: Bo + Bizu+ ... +Back+14 Suppose the regressors are strictly exogenous, which means the error, 14, is uncorrelated with the regressors in all time periods. The variance of B₁ (conditional on a), accounts for the serial correlation in t Var (B₁) SST, +2x where o² - Var(u) and E(uus) - Cov(uus) po². Which of the following formulas describes of the Durbin-Watson test statistic and the coefficient p of in the dynamic regression model pus+et, where t-2,..., n? O DW 2x (1+p) ⒸDW 1-p ODW 2-p O DW n-1 nt Σ.Σ. Ρτιπεις 11-1 2×(1-P)
Transcribed Image Text:5. The Durbin-Watson test under classical assumptions Consider the following multiple linear regression model: Bo + Bizu+ ... +Back+14 Suppose the regressors are strictly exogenous, which means the error, 14, is uncorrelated with the regressors in all time periods. The variance of B₁ (conditional on a), accounts for the serial correlation in t Var (B₁) SST, +2x where o² - Var(u) and E(uus) - Cov(uus) po². Which of the following formulas describes of the Durbin-Watson test statistic and the coefficient p of in the dynamic regression model pus+et, where t-2,..., n? O DW 2x (1+p) ⒸDW 1-p ODW 2-p O DW n-1 nt Σ.Σ. Ρτιπεις 11-1 2×(1-P)
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