Questions from Econometrics

Q: It is commonly asserted that the Durbin–Watson statistic is only

It is commonly asserted that the Durbin–Watson statistic is only appropriate for testing for first-order autoregressive disturbances. The Durbin–Watson statistic estimates 2(1 - ) where r is the firs...

Q: Find the first two autocorrelations and partial autocorrelations for the MA(

Find the first two autocorrelations and partial autocorrelations for the MA(2) process

Q: Residual makers. What is the result of the matrix product M1M

Residual makers. What is the result of the matrix product M1M where M1 is defined in (3-19) and M is defined in (3-14)?

Q: Adding an observation. A data set consists of n observations contained

Adding an observation. A data set consists of n observations contained in Xn and yn. The least squares estimator based on these n observations is bn = (X= X )-1X= y . Another observation, xs and ys, b...

Q: (We look ahead to our use of maximum likelihood to estimate

(We look ahead to our use of maximum likelihood to estimate the models discussed in this chapter in chapter 14.) In Example 9.3, we computed an iterated FGLS estimator using the airline data and the m...

Q: Deleting an observation. A common strategy for handling a case in

Deleting an observation. A common strategy for handling a case in which an observation is missing data for one or more variables is to fill those missing variables with 0s and add a variable to the mo...

Q: Demand system estimation. Let Y denote total expenditure on consumer durables

Demand system estimation. Let Y denote total expenditure on consumer durables, nondurables, and services and Ed, En, and Es are the expenditures on the three categories. As defined, Y = Ed + En + Es....

Q: Change in adjusted R2. Prove that the adjusted R2 in (

Change in adjusted R2. Prove that the adjusted R2 in (3-30) rises (falls) when variable xk is deleted from the regression if the square of the t ratio on xk in the multiple regression is less (greater...

Q: Regression without a constant. suppose that you estimate a multiple regression

Regression without a constant. suppose that you estimate a multiple regression first with, then without, a constant. Whether the R2 is higher in the second case than the first will depend in part on h...

Q: Three variables, N, D, and Y, all have

Three variables, N, D, and Y, all have zero means and unit variances. A fourth variable is C = N + D. In the regression of C on Y, the slope is 0.8. In the regression of C on N, the slope is 0.5. In t...