Generalized least squares regression, Mathematics

    a. Estimate the following model,  Ct  =  β0  +  β1 * DIt +  εt            


Ct = Aggregate Consumption Expenditure in Australia, quarterly data for the period 1985:1 - 2005:2

DIt =  Disposable Income in Australia, quarterly data for the period 1985:1 - 2005:2 and write down your results in full reporting mode.

 b. Since you are using time-series data, you want to check for the existence of Serial Correlation.  Use the estimated residuals to calculate the Durbin-Watson d-statistic and make an assessment about the existence of serial correlation on the basis of it.

 c. Plot a scatter graph of the residuals from your equation in (a) above against time to visually verify the existence of serial correlation.

d. Assuming that you have proof of positive serial correlation, calculate the estimated rho directly from the DW d-statistic.

e. Use the Cochrane-Orcutt method to estimate rho and write your results in reporting mode.

f.  Apply the rho you have estimated in (c) above to correct your data and run a Generalized Least Squares Regression.  Show the formulation of the model and write down your results.

 g. Calculate the residuals from (e) above and re-estimate the DW d-statistic.  Report your conclusions.

h. Compare the equation from (a) or (e) above.  Which of the two models do you prefer?  Explain.

Posted Date: 2/22/2013 2:06:36 AM | Location : United States

Related Discussions:- Generalized least squares regression, Assignment Help, Ask Question on Generalized least squares regression, Get Answer, Expert's Help, Generalized least squares regression Discussions

Write discussion on Generalized least squares regression
Your posts are moderated
Related Questions
a ,b,c are complex numbers such that a/1-b=b/1-c=c-1-a=k.find the value of k

sin(xy)+x=5y Find the derivative.

Characteristics and Limitations of moving average Characteristics of moving average 1) The more the number of periods in the moving average, the greater the smoothing

RANDOM VARIABLE A variable which assumes different numerical values as a result of random experiments or random occurrences is known as a random variable. The rainfal

what is a domain of a function?

What is Converse, Inverse, and Contrapositive In geometry, many declarations are written in conditional form "If ...., then....." For Example: "If two angles are right angles,

A painter leans a 10-foot ladder against the house she is to paint. The foot of the ladder is 3 feet from the house. How far above the ground does the ladder touch the house? Appro

Find out the two inputs when the NAND gate output will be low. Ans. The output of NAND gate will be low if the two inputs are 11. The Truth Table of NAND gate is shown

Tammi's latest printer can print 13.5 pages a minute. How many pages can it print in 4 minutes? Multiply 13.5 by 4 to ?nd out the number of copies made; 13.5 × 4 = 54 copies.

how do you learn about equivelant fractions