Questions and Answers of Econometric

Use the data in CPS91.RAW for this exercise. These data are for married women, where we also have information on each husband's income and demographics.(i) What fraction of the women report being in
Use the data in CHARITY.RAW to answer these questions.(i) The variable respond is a binary variable equal to one if an individual responded with a donation to the most recent request. The database
Use the data in HTV.RAW to answer this question. (i) Using OLS on the full sample, estimate a model for log(wage) using explanatory variables educ, abil, exper, nc, west, south, and urban. Report the
Use the data in LOANAPP.RAW for this exercise; see also Computer Exercise C7.8.(i) Estimate a probit model of approve on white. Find the estimated probability of loan approval for both whites and
Use the data in FRINGE.RAW for this exercise.(i) For what percentage of the workers in the sample is pension equal to zero? What is the range of pension for workers with nonzero pension benefits? Why
In Example 9.1, we added the quadratic terms pcnv2, ptime862, and inc862 to a linear model for narr86.(i) Use the data in CRIME 1 .RAW to add these same terms to the Poisson regression in Example
Refer to Table 13.1 in Chapter 13. There, we used the data in FERTIL1 .RAW to estimate a linear model for kids, the number of children ever born to a woman.(i) Estimate a Poisson regression model for
Use the data in RECID.RAW to estimate the model from Example 17.4 by OLS, using only the 552 uncensored durations. Comment generally on how these estimates compare with those in Table 17.4.
Use the MROZ.RAW data for this exercise.(i) Using the 428 women who were in the workforce, estimate the return to education by OLS including exper, exper2, nwifeinc, age, kidslt6, and kidsge6 as
The file JTRAIN2.RAW contains data on a job training experiment for a group of men. Men could enter the program starting in January 1976 through about mid-1977. The program ended in December 1977.
Use the data in APPLE.RAW for this exercise. These are telephone survey data attempting to elicit the demand for a (fictional) "ecologically friendly" apple. Each family was (randomly) presented with
An interesting economic model that leads to an econometric model with a lagged dependent variable relates yt to the expected value of xt, say, x*i, where the expectation is based on all observed
Suppose that {yt} and {zt} are 1(1) series, but yt - βzt is 1(0) for some β ≠ 0. Show that for any δ ≠ β, yt - δzt must be 1(1).
Consider the error correction model in equation (18.37). Show that if you add another lag of the error correction term, yt-2 - βxt- 2, the equation suffers from perfect collinearity.
Suppose the process [(xt, yt): t = 0, 1, 2, ...} satisfies the equationsyt = βxt + utandΔxt = γΔxt-1, + vt,where E(ut | It-1) = E(vt | It-1) = 0, It-1, contains information on x and y dated at
Using the monthly data in VOLAT.RAW, the following model was estimated:where pcip is the percentage change in monthly industrial production, at an annualized rate, and pcsp is the percentage change
Let gMt be the annual growth in the money supply and let unem, be the unemployment rate. Assuming that unem, follows a stable AR(1) process, explain in detail how you would test whether gM Granger
Suppose that yt follows the modelyt = α + δ1 zt-1 + utu, = put-1 + etE(et | It-1) = 0,where It-1 contains y and z dated at t - 1 and earlier.(i) Show that E(yt+1| It) = (1 - p) α + pyt + δt Zt -
Let {yt} be an 1(1) sequence. Suppose that n is the one-step-ahead forecast of Δyn+1 and let fn = n + yn be the one-step-ahead forecast of yn+1. Explain why the forecast errors for forecasting
Use the data in WAGEPRC.RAW for this exercise. Problem 11.5 gave estimates of a finite distributed lag model of gprice on gwage, where 12 lags of gwage are used.(i) Estimate a simple geometric DL
Use the data in INTQRT.RAW for this exercise.(i) Using the data from all but the last four years (16 quarters), estimate an AR(1) model for Δr6t. (We use the difference because it appears that r6t
Use the data in VOLAT.RAW for this exercise.(i) Confirm that Isp500 = log(sp500) and lip = log(ip) appear to contain unit roots. Use Dickey-Fuller tests with four lagged changes and do the tests with
This exercise also uses the data from VOLAT.RAW. Computer Exercise 18.11 studies the long-run relationship between stock prices and industrial production. Here, you will study the question of Granger
Use the data in TRAFFIC2.RAW for this exercise. These monthly data, on traffic accidents in California over the years 1981 to 1989, were used in Computer ExerciseC10.11. (i) Using the standard
Use the data in MINWAGE.DTA for sector 232 to answer the following questions.(i) Confirm that lwage232t and lemp232t are best characterized as 1(1) processes. Use the augmented DF test with one lag
Use the data in HSEINV.RAW for this exercise.(i) Test for a unit root in log(mvpc), including a linear time trend and two lags of Δlog(invpcr). Use a 5% significance level.(ii) Use the approach from
Use the data in VOLAT.RAW for this exercise.(i) Estimate an AR(3) model for pcip. Now, add a fourth lag and verify that it is very insignificant.(ii) To the AR(3) model from part (i), add three lags
In testing for co integration between gfr and pe in Example 18.5, add t2 to equation (18.32) to obtain the OLS residuals. Include one lag in the augmented DF test. The 5% critical value for the test
Use INTQRT.RAW for this exercise.(i) In Example 18.7, we estimated an error correction model for the holding yield on six-month T-bills, where one lag of the holding yield on three-month T-bills is
Use the data in PHILLIPS.RAW to answer these questions.(i) Estimate the models in (18.48) and (18.49) using the data through 1997. Do the parameter estimates change much compared with (18.48) and
Use the data in BARIUM.RAW for this exercise.(i) Estimate the linear trend model chnimp, = a + fit + ur using the first 119 observations (this excludes the last 12 months of observations for 1988).
Use the data in FERTIL3.RAW for this exercise.(i) Graph gfr against time. Does it contain a clear upward or downward trend over the entire sample period?(ii) Using the data through 1979, estimate a
Use CONSUMP.RAW for this exercise.(i) Let yt be real per capita disposable income. Use the data through 1989 to estimate the modelyt = α + βt + pyt-1 + utand report the results in the usual

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