applied, Applied Statistics

Question 1

Suppose that you have 150 observations on production (yt) and investment (it), and you have estimated the following ADL(3,2) model:

(1 – 0.5L – 0.1L2 – 0.05L3)yt = 0.7 + (0.2 + 0.1L +0.05L2)it (1)

a. Use this model to describe the dynamic effects of investment on production. Your answer should include a calculation of the impact multiplier and the long-run multiplier.

b. Suppose that you can obtain other output associated with the above regression (eg., the residuals et, the R2, the sum of squared residuals, etc.). Carefully explain how you would test each of the null hypotheses given below.

[Hints: In each case your answer should state the extra output you would need from regression of equation (1), the extra regression(s) that you would need to run, an explanation of how you would construct the test statistic, a statement on the distribution of the test statistic under the null hypothesis, and a brief description of your critical region.]

i. H0: investment has no long run effect on production.

ii. H0: there is no third order serial correlation in the errors.
Posted Date: 1/14/2013 9:35:21 AM | Location : USA







Related Discussions:- applied, Assignment Help, Ask Question on applied, Get Answer, Expert's Help, applied Discussions

Write discussion on applied
Your posts are moderated
Related Questions
Find the Relation between two substance: The following table shows the results obtained in experiments aimed to determine how solubility of water in benzene depends on tempera

The quick method for a confidence interval for a proportion uses as an approximation for a 95% confidence interval.  The margin of error in this case is slightly larger tha

As one of the oldest multivariate statistical methods of data reduction, Principal Component Analysis (PCA)simplifies a dataset by producing a small number of derived

Agency revenues. An economic consultant was retained by a large employment agency in a metropolitan area to develop a regression model for predicting monthly agency revenues ( y ).

The 4 assumptions of regression: 1.       Variables are normally distributed 2.       Linear relationship between the independent and dependent variables 3.       Homosced

Consider three stocks A, B and C costing $100 each. The annual returns on the three stocks have mean $5 and variance $10. a. Suppose that the returns on the three stocks are i.i

Explain what central tendency and variability are. In your answer define what the mean, median, mode, variance, and standard deviation are. What is the difference between the descr

A.The coupon rate of Erie-Chicago Rail is 7%. The interest rate of Florida municipal bond with equal risk is 6%.  At what tax rate the two bonds are as good as each other B.Supp

Cause and Effect Even a highly significant correlation does not necessarily mean that a cause and effect relationship exists between the two variables. Thus, correlation does

(a) Average rainfall during the month of January is found to be 58 mm. A Class A pan evaporation recorded an average of 8.12 mm/day near an irrigation reservoir. The average