7. Consider the following time series OLS regression t 3.41 +2.72x1t - 5.33x2t = DW 1.60...
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7. Consider the following time series OLS regression ŷt 3.41 +2.72x1t - 5.33x2t = DW 1.60 and n = 60 where t indexes the period of observation; DW denotes the Durbin-Watson statistic; and n is the sample size. Given the model specification and the sample size, the Durbin-Watson test has 5% critical values of d₁ = 1.514 and du 1.652. 'The presence of autocorrelation implies that the OLS estimator is inefficient but it does not imply that the OLS estimator is biased. In this regression, since DW lies between the two critical values, I conclude that = there is no autocorrelation,' says Morris. To what extent do you agree with Morris? Explain your answer. 7. Consider the following time series OLS regression ŷt 3.41 +2.72x1t - 5.33x2t = DW 1.60 and n = 60 where t indexes the period of observation; DW denotes the Durbin-Watson statistic; and n is the sample size. Given the model specification and the sample size, the Durbin-Watson test has 5% critical values of d₁ = 1.514 and du 1.652. 'The presence of autocorrelation implies that the OLS estimator is inefficient but it does not imply that the OLS estimator is biased. In this regression, since DW lies between the two critical values, I conclude that = there is no autocorrelation,' says Morris. To what extent do you agree with Morris? Explain your answer.
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Morriss conclusion that there is no autocorrelation based on the DurbinWatson DW statistic falling b... View the full answer
Related Book For
Essentials of Business Analytics
ISBN: 978-1285187273
1st edition
Authors: Jeffrey Camm, James Cochran, Michael Fry, Jeffrey Ohlmann, David Anderson, Dennis Sweeney, Thomas Williams
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