Using the Grunfeld investment equation in (2.40),

(a) Replicate Table 5.5 using the AR(1) estimation with common \(ho\) and heteroskedastic variances.

(b) Replicate Table 5.6 using the \(\operatorname{AR}(1)\) estimation with varying \(ho_{i}\) and heteroskedastic variances across firms.

(c) Replicate Table 5.7 using the \(\operatorname{AR}(1)\) estimation with varying \(ho_{i}\), heteroskedastic variances, and cross-firm dependence in the variance-covariance matrix. Compare with the error component estimates obtained in Table 2.1.

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Table 5.5 Common rho and heteroskedastic AR(1) for Grunfeld data xtgls IF C, corr (arl) panels (heteroskedastic) Cross-sectional time-series FGLS regression Coefficients: . Panels: Correlation: generalized least squares heteroskedastic common AR (1) coefficient for all panels (0.9261) Estimated covariances Estimated autocorrelations Estimated coefficients I | FI CI cons I Coef. .0715306 .1405652 -1.979683 10 1 3 Std. Err. .0087269 .0314945 6.781349 Z Number of obs Number of groups Time periods Wald chi2 (2) Prob chi2 P> |Z| 8.20 0.000 4.46 0.000 -0.29 0.770 200 10 20 .0544262 .0788371 -15.27088 107.43 0.0000 [95% Conf. Interval] .088635 .2022933 11.31152