Question: (i) Using the data in WAGEPRC.RAW, estimate the distributed lag model from Problem 11.5. Use regression (12.14) to test for AR(1) serial correlation. (ii) Reestimate

(i) Using the data in WAGEPRC.RAW, estimate the distributed lag model from Problem 11.5. Use regression (12.14) to test for AR(1) serial correlation.
(ii) Reestimate the model using iterated Cochrane-Orcutt estimation. What is your new estimate of the long-run propensity?
(iii) Using iterated CO, find the standard error for the LRP. (This requires you to estimate a modified equation.) Determine whether the estimated LRP is statistically different from one at the 5% level.

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