Questions from Econometrics

Q: We computed the OLS and a set of WLS estimates in a

We computed the OLS and a set of WLS estimates in a cigarette demand equation. (i) Obtain the OLS estimates in equation (8.35). (ii) Obtain the h^i used in the WLS estimation of equation (8.36) and re...

Q: Use the data in JTRAIN98 to answer this question. The variable

Use the data in JTRAIN98 to answer this question. The variable unem98 is a binary variable indicating whether a worker was unemployed in 1998. It can be used to measure the effectiveness of the job tr...

Q: Use the data in MURDER only for the year 1993 for this

Use the data in MURDER only for the year 1993 for this question, although you will need to first obtain the lagged murder rate, say mrdrte-1. (i) Run the regression of mrdrte on exec, unem. What are t...

Q: In this exercise, you are to compare OLS and LAD estimates

In this exercise, you are to compare OLS and LAD estimates of the effects of 401(k) plan eligibility on net financial assets. The model is nettfa = 0 + 1inc + 2inc2 + b3age + b4age2 + b5male + b6e4...

Q: (i) Test for a unit root in log(invpc

(i) Test for a unit root in log(invpc), including a linear time trend and two lags of (log(invpct). Use a 5% significance level. (ii) Use the approach from part (i) to test for a unit root in log(pric...

Q: Okun’s Law—see, for example, Mankiw (1994,

Okun’s Law—see, for example, Mankiw (1994, Chapter 2)—implies the following relationship between the annual percentage change in real GDP, pcrgdp, and the change in the annual unemployment rate, cunem...

Q: Use CONSUMP for this exercise. One version of the permanent income

Use CONSUMP for this exercise. One version of the permanent income hypothesis (PIH) of consumption is that the growth in consumption is unpredictable. [Another version is that the change in consumptio...

Q: Use the data in NYSE to answer these questions. (

Use the data in NYSE to answer these questions. (i) Estimate the model in equation (12.47) and obtain the squared OLS residuals. Find the average, minimum, and maximum values of u^2t over the sample....

Q: Use the data in OKUN to answer this question; (

Use the data in OKUN to answer this question; (i) Estimate the equation pcrgdpt = 0 + 1cunemt + ut and test the errors for AR(1) serial correlation, without assuming {cunemt: t = 1, 2, . . .} is str...

Q: (i) In part (i) of Computer Exercise C6

(i) In part (i) of Computer Exercise C6 in Chapter 11, you were asked to estimate the accelerator model for inventory investment. Test this equation for AR(1) serial correlation. (ii) If you find evid...