Question: C2 (i) Using the data in WAGEPRC.RAW, estimate the distributed lag model from Problem 5 in Chapter 11. Use regression (12.14) to test for AR(1)

C2 (i) Using the data in WAGEPRC.RAW, estimate the distributed lag model from Problem 5 in Chapter 11. 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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