Questions from Econometrics

Q: Using the macroeconomic data in Appendix Table F5.2, estimate

Using the macroeconomic data in Appendix Table F5.2, estimate by least squares the parameters of the model where ct is the log of real consumption and yt is the log of real disposable income. a. Use t...

Q: Carry out an ADF test for a unit root in the rate

Carry out an ADF test for a unit root in the rate of inflation using the subset of the data in Appendix Table F5.2 since 1974.1. (This is the first quarter after the oil shock of 1973.)

Q: Estimate the parameters of the model in Example 10.4 using

Estimate the parameters of the model in Example 10.4 using two-stage least squares. Obtain the residuals from the two equations. Do these residuals appear to be white noise series? Based on your findi...

Q: Reverse regression continued. suppose that the model in Exercise 3 is

Reverse regression continued. suppose that the model in Exercise 3 is extended to y = x* + d + , x = x* + u. For convenience, we drop the constant...

Q: Dummy variable for one observation. Suppose the data set consists of

Dummy variable for one observation. Suppose the data set consists of n observations, (yn, Xn) and an additional observation, The full data set contains a dummy variable, d, that equals zero save for...

Q: Describe how to obtain nonlinear least squares estimates of the parameters of

Describe how to obtain nonlinear least squares estimates of the parameters of the model y = ax+ .

Q: Verify the following differential equation, which applies to the Box–

Verify the following differential equation, which applies to the Box–cox transformation: Show that the limiting sequence for  = 0 is These results can be used to gre...

Q: In Application 1 in chapter 3 and Application 1 in chapter 5

In Application 1 in chapter 3 and Application 1 in chapter 5, we examined Koop and Tobias’s data on wages, education, ability, and so on. We continue the analysis here. (The source,...

Q: In the discussion of the instrumental variable estimator, we showed that

In the discussion of the instrumental variable estimator, we showed that the least squares estimator, bLs, is biased and inconsistent. Nonetheless, bLs does estimate something—plim...

Q: For the measurement error model in (8-26) and

For the measurement error model in (8-26) and (8-27), prove that when only x is measured with error, the squared correlation between y and x is less than that between y* and x*. (Note the assumption t...