This exercise is based on the following data set. a. Compute the ordinary least squares regression of
Question:
This exercise is based on the following data set.
a. Compute the ordinary least squares regression of Y on a constant, X1, and X2. Be sure to compute the conventional estimator of the asymptotic covariance matrix of the OLS estimator as well.
b. Compute the White estimator of the appropriate asymptotic covariance matrix for the OLS estimates.
c. Test for the presence of heteroscedasticity using White??s general test. Do your results suggest the nature of the heteroscedasticity?
d. Use the Breusch??Pagan Lagrange multiplier test to test for heteroscedasticity.
e. Sort the data keying on X1 and use the Goldfeld??Quandt test to test for heteroscedasticity. Repeat the procedure, using X2. What do youfind?
-1.42 2.75 -0.26 -4.87 -0.62 7.01 26.14 -1.26 -0.15 3.41 5.51 -15.22 -1.47 -0.35 -0.48 1.24 -1.65 -0.63 -1.78 -0.80 0.02 -0.18 -0.67 -0.74 0.61 1.77 1.87 2.01 2.10 5.94 1.48 0.77 0.34 0.35 1.25 0.22 -1.32 0.33 -1.62 0.70 -1.87 2.32 2.92 -3.45 1.26 0.16 -1.99 0.39 0.32 1.56 4.38 -1.94 -0.88 -2.02 50 Observations on Y: -5.08 1.00 2.21 0.90 7.39 1.93 1.52 1.78 -5.45 -1.48 0.69 1.49 -6.87 0.79 1.31 1.06 0.70 0.17 6.66 1.91 50 Observations on X₁: 0.67 0.23 0.79 -1.04 1.25 0.68 0.77 -0.12 -0.60 -0.17 1.02 0.66 0.79 0.33 50 Observations on X₂: 2.88 -0.19 -1.28 0.37 -2.07 1.20 2.16 1.51 0.30 2.09 1.50 -0.46 -1.53 1.42 -2.70 1.91 -2.23 0.16 1.61 1.97 2.04 2.62 -0.40 0.28 1.06 0.86 0.48 -2.72 0.26 -0.17 0.19 1.77 -1.11 2.11 -23.17 3.00 -5.16 -1.13 0.58 -0.66 2.04 1.90 1.66 -3.82 -2.52 6.31 -4.71 0.15 -0.41 -1.18 -0.51 -0.18 -0.70 -1.55 -1.34 -2.10 7.82 -1.15 -0.39 1.54 -1.89 -1.85
Step by Step Answer:
The ordinary least squares regression of Y on a constant X and X produces the following results Sum of squared residuals 19119275 R2 Standard error of regression Variable Coefficient 190394 113113 376...View the full answer
Students also viewed these Econometric questions
-
This exercise is based on the following data set: 1, 3, 6, 0, 1, 1, 2, 1, 4. a. Perform a t test in order to decide whether you can reject the null hypothesis of = 2.5 at the .05 level (two tailed)...
-
This exercise is based on the following data set: 68.36, 15.31, 77.42, 84.00, 76.59, 68.43, 72.41, 83.05, 91.07, 80.62, 77.83. a. Perform a t test in order to decide whether you can reject the null...
-
A multiple regression of y on a constant x 1 and x 2 produces the following results: y = 4 + 0.4x 1 + 0.9x 2 , R 2 = 8/60, e'e = 520, n = 29, Test the hypothesis that the two slopes sum to 1. [29 0 0...
-
Data from the registrar's office at Gigantic State University indicate that over the past 20 years tuition and enrollment have both increased. From this information we can conclude that: A. higher...
-
Reconsider Wimpy's Burgers from problem l. In a slow year, Wimpy's Burgers will produce 1 million hamburgers at a total cost of $1.75 million. In a good year, it can produce 2 million hamburgers at a...
-
List three techniques for attaching and electrically connecting dies to IC packages.
-
Another published study of government-sponsored lotteries examined reasons why people purchase lottery tickets (Miyazaki, Langenderfer, \& Sprott, 1999). The researchers approached a number of people...
-
On July 27, 20X0, Arthur Ward, CPA, issued an unqualified audit report on the financial statements of Dexter Company for the year ended June 30, 20X0. Two weeks later, Dexter Company mailed annual...
-
On July 1, 2023, Howe Corporation issues 2,000,000 shares of its common stock for all of Essex Corporation's outstanding shares and Essex is dissolved. The fair value of Howe's common stock on that...
-
A 50-MHz generator with Zg = 50 is connected to a load ZL= 50 j25- . The time-average power transferred from the generator into the load is maximum when Zg = Z_L_ where Z _L is the complex...
-
Using the data in Exercise 3, use the OberhoferKmenta method to compute the maximum likelihood estimate of the common coefficient vector
-
Using the data of Exercise 5, reestimate the parameters using a two-step FGLS estimator. Try the estimator used in Example 11.4.
-
Suzette inherited property from her father on April 19, 2014. The FMV at the date of death was $40,000. The property was worth $35,000 six months later and had a basis to her father of $25,000. a....
-
Some people have suggested that political voting and voting with ones feet simultaneously apply in determining the amounts of local public services to provide. Discuss how this might happen. How...
-
Per pupil spending often varies among school districts in a given state. Suppose that one district spends $6,000 per pupil for instruction (excluding transportation, lunches, administration, and so...
-
There is some evidence that the relationship between desired local government services (spending) and income is U shaped that is, lower-and higher-income voters may form a coalition to support...
-
Some surveys show that citizens usually are quite aware of services provided by local governments but often not very certain of the services provided by state governments. Make a list of five...
-
The Tiebout process in this chapter represents an alternative to the majority voting model described in Chapter 4 as a way of making public fiscal decisions. Compare these two alternative theories in...
-
On January 1, 2015, Harrington Company has the following defined benefit pension plan balances. The interest (settlement) rate applicable to the plan is 10%. On January 1, 2016, the company amends...
-
What is master production scheduling and how is it done?
-
Explain the labor theory of value and labor as the source of surplus.
-
For the model y1 = 1 + x + 1, y2 = 2 + 2, y3 = 3 + 3, assume that yi2 + yi3 = 1 at every observation. Prove that the sample covariance matrix of the least squares residuals from the three equations...
-
Consider the following two-equation model: y1 = 1y2 + 11x1 + 21x2 + 31x3 + 1, y2 = 2y1 + 12x1 + 22x2 + 32x3 + 2. a. Verify that, as stated, neither equation is identified. b. Establish whether or not...
-
The following model is specified: y1 = 1y2 + 11x1 + 1, y2 = 2y1 + 22x2 + 32x3 + 2. All variables are measured as deviations from their means. The sample of 25 observations produces the following...
-
On April 1, 2021, Windsor, Inc. purchased $615,000 of 6% bonds for $639,225 plus accrued interest as an available-for-sale security. Interest is paid on July 1 and January 1 and the bonds mature on...
-
Use the graphical method for linear programming to find the optimal solution for the following problem. Minimize C=3x+15y subject to 2x + 4y 12 5x + 2y 10 and x 0, y 0.
-
The balance sheet of Consolidated Paper, Incorporated, included the following shareholders equity accounts at December 3 1 , 2 0 2 3 : Paid - in capital: Preferred stock, 8 . 8 % , 8 7 , 0 0 0 shares...
Study smarter with the SolutionInn App