Questions from Econometrics

Q: Consider the version of Fair’s model in Example 10.6.

Consider the version of Fair’s model in Example 10.6. Now, rather than predicting the proportion of the two-party vote received by the Democrat, estimate a linear probability model for whether or not...

Q: Use the data in KIELMC for this exercise. (i

Use the data in KIELMC for this exercise. (i) The variable dist is the distance from each home to the incinerator site, in feet. Consider the model Log(price) = 0 + 0y81 + 1log(dist) + d1y81.log(di...

Q: Use the data in RENTAL for this exercise. The data for

Use the data in RENTAL for this exercise. The data for the years 1980 and 1990 include rental prices and other variables for college towns. The idea is to see whether a stronger presence of students a...

Q: Use the data in WAGEPRC for this exercise. Problem 5 in

Use the data in WAGEPRC for this exercise. Problem 5 in Chapter 11 gave estimates of a finite distributed lag model of gprice on gwage, where 12 lags of gwage are used. (i) Estimate a simple geometric...

Q: (i) Using the data from all but the last four

(i) Using the data from all but the last four years (16 quarters), estimate an AR(1) model for (r6t. (We use the difference because it appears that r6t has a unit root.) Find the RMSE of the one-step-...

Q: In equation (4.42) of Chapter 4, using

In equation (4.42) of Chapter 4, using the data set BWGHT, compute the LM statistic for testing whether motheduc and fatheduc are jointly significant. In obtaining the residuals for the restricted mod...

Q: Use the data in VOLAT for this exercise. (i

Use the data in VOLAT for this exercise. (i) Confirm that lsp500 = log(sp500) and lip = log(ip) appear to contain unit roots. Use Dickey Fuller tests with four lagged changes and do the tests with and...

Q: This exercise also uses the data from VOLAT. Here, you

This exercise also uses the data from VOLAT. Here, you will study the question of Granger causality using the percentage changes. (i) Estimate an AR(3) model for pcipt, the percentage change in indust...

Q: Use the data in TRAFFIC2 for this exercise. These monthly data

Use the data in TRAFFIC2 for this exercise. These monthly data, on traffic accidents in California over the years 1981 to 1989, were used in Computer Exercise C11 in Chapter 10. (i) Using the standard...

Q: Use the data in MINWAGE.DTA for sector 232 to answer

Use the data in MINWAGE.DTA for sector 232 to answer the following questions. (i) Confirm that lwage232t and lemp232t are best characterized as I(1) processes. Use the augmented DF test with one lag o...