The following table presents a hypothetical panel of data: a. Estimate the groupwise heteroscedastic model of Section
Question:
The following table presents a hypothetical panel of data:
a. Estimate the groupwise heteroscedastic model of Section 9.7.2. Include an estimate of the asymptotic variance of the slope estimator. Use a two-step procedure, basing the FGLS estimator at the second step on residuals from the pooled least squares regression.
b. Carry out the Wald and Lagrange multiplier tests of the hypothesis that the variances are all equal.
Transcribed Image Text:
i=1 i=2 i=3 t y y 38.71 29.74 11.29 26.17 5.85 29.01 30.38 36.03 37.90 1 2 3 4 28.35 27.38 12.74 21.08 21.16 26.76 22.21 19.02 30.27 35.59 24.31 28.47 37.03 43.82 37.12 24.34 17.90 44.90 23.74 25.44 20.80 10.55 18.40 25.40 13.57 5 37.58 23.15 30.53 39.90 20.44 36.85 14.02 20.43 28.13 21.78 25.65 26.15 26.01 29.64 30.25 25.41 26.04 18.64 18.97 21.35 21.34 15.86 7 8. 10 25.60 33.90 11.66 13.28
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