Introductory Econometrics A Modern Approach 4th edition Jeffrey M. Wooldridge - Solutions

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 the labor force?(ii) Using only the data for working women-you have no choice-estimate the wage
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 consists only of people who have responded at least once in the past. What fraction of people
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 estimated return to education and its standard error. (ii) Now estimate the equation from part (i)
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 nonwhites. How do these compare with the linear probability estimates?(ii) Now, add the variables hrat,
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 is a Tobit model appropriate for modeling pension?(ii) Estimate a Tobit model explaining pension in
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 17.3.(ii) Compute the estimate of Ïƒ2 given bythere evidence of over dispersion? How should the
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 kids, using the same variables in Table 13.1. Interpret the coefficient on y82.(ii) What is the
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 explanatory variables. Report your estimate on educ and its standard error.(ii) Now, estimate the return
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. The idea is to test whether participation in the job training program had an effect on unemployment
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 a set of prices for regular apples and the eco-labeled apples. They were asked how many pounds of
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 information at time t - 1:A natural assumption on {ut} is that E(ut|It-1) = 0, where It-1, denotes all
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 time t - 1 and earlier, β ≠ 0, and |γ| < 1 [so that xt, and therefore yt, is I(1)]. Show that
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 in the Standard & Poor's 500 Index, also at an annualized rate.(i) If the past three months of
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 causes unem.
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 - p δl Zt-1(ii) Suppose that you use n observations to estimate α, δ1, and p. Write the equation
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 Δyn+1 and yn+1 are identical.
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 model of gprice on gwage. In particular, estimate equation (18.11) by OLS. What are the estimated
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 has a unit root.) Find the RMSE of the one-step-ahead forecasts for Δr6, using the last 16
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 and without a linear time trend.(ii) Run a simple regression of lsp500 on lip. Comment on the sizes
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 causality using the percentage changes.(i) Estimate an AR(3) model for pcipt the percentage change
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 Dickey-Fuller regression, test whether Itotacct, has a unit root. Can you reject a unit root at the 2.5%
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 of gwage232 and gemp232, respectively, and a linear time trend. Is there any doubt that these series
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 part (i) to test for a unit root in log(price).(iii) Given the outcomes in parts (i) and (ii), does
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 of pcsp to test whether pcsp Granger causes pcip. Carefully, state your conclusion.(iii) To the
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 is -4.15.
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 the explanatory variable. We assumed that the co integration parameter was one in the equation hy6t =
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 (18.49)?(ii) Use the new equations to forecast unem1998: round to two places after the decimal. Which
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). What is the standard error of the regression?(ii) Now, estimate an AR(1) model for chnimp, again
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 cubic time trend model for gfr (that is, regress gfr on t, t2, and t3, along with an intercept).
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 form.(ii) Use the estimated equation from part (i) to forecast y in 1990. What is the forecast error?(iii)

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