Generalized least squares regression, Mathematics

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

Where

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
Describe, in your own words, the following terms and give an example of each. Your examples are not to be those given in the lecture notes, or provided in the textbook. By the en

Example:  Joanne is given a four-question multiple-choice quiz.  She hasnt studied the material to be quizzed, so she decides to answer the questions by randomly guessing the answe

Let u = sin(x). Then du = cos(x) dx. So you can now antidifferentiate e^u du. This is e^u + C = e^sin(x) + C.  Then substitute your range 0 to pi. e^sin (pi)-e^sin(0) =0-0 =0

what''s the beneit of study mathematics ?

1.   The length of a rectangle is 2 times its width.  The area of the rectangle is 72          square inches. Find the dimensions of the rectangle.   2.   The length of a rec

Solve the subsequent quadratic equation: Solve the subsequent quadratic equation through taking the square roots of both sides. 3x 2 = 100 - x 2 Solution: Step 1

Show that the points (3, 0), (4, 5), (-1, 4) and (-2, -1) taken in order are the vertices of a rhombus. Also find the area of the rhombus.

Mike sells on the average 15 newspapers per week (Monday – Friday). Find the probability that 2.1 In a given week he will sell all the newspapers

Prove that a m + n + a m - n  =2a m Ans:    a m + n = a 1 + (m + n - 1) d a m-n = a 1 + (m - n -1) d a m = a 1 + (m-1) d Add 1 & 2 a m+n + a m-n  =

Two Tailed Tests A two tailed test is generally used in statistical work as tests of significance for illustration, if a complaint lodged by the client is about a product not m