Qn e and f

e) Use the Breusch-Godfrey test for testing the errors for AR(1) serial correlation. Clearly state the auxillary regression that you must estimate for answering the question, the null and alternative hypotheses, the form and distribution of the test statistic under the null, the calculated sample value and critical value of the test statistic, your decision rule and your conclusion. ( 8 marks) f) For the regression in part b), report the Newey-West HAC standard errors for the estimated regression coefficients. What happens to the t-statistics on wave2 and wave3? Did you expect a bigger or smaller change in the new t-statistics compared to the t-statistics which use the usual OLS standard errors? ( 6 marks) e) Use the Breusch-Godfrey test for testing the errors for AR(1) serial correlation. Clearly state the auxillary regression that you must estimate for answering the question, the null and alternative hypotheses, the form and distribution of the test statistic under the null, the calculated sample value and critical value of the test statistic, your decision rule and your conclusion. ( 8 marks) f) For the regression in part b), report the Newey-West HAC standard errors for the estimated regression coefficients. What happens to the t-statistics on wave2 and wave3? Did you expect a bigger or smaller change in the new t-statistics compared to the t-statistics which use the usual OLS standard errors? ( 6 marks)