Lagrange multipliertest, Advanced Statistics

Assignment Help:

The Null Hypothesis - H0:  There is autocorrelation

The Alternative Hypothesis - H1: There is no autocorrelation

Rejection Criteria: Reject H0 (n-s)R2 >641_Partial Autocorrelation Function1.png = (1515 - 4) x (0.01) = 15.11 > 9.49 (641_Partial Autocorrelation Function1.png)

1515 cases used, 4 cases contain missing values

Since 15.11 > 9.49 the chi-squared value with 4 lags (ET-1, ET-2, ET-3, and ET-4) there is evidence to suggest that we reject H0 meaning that there is no autocorrelation.    

The regression equation is

RESI1 = - 0.0011 + 0.000005 totexp - 0.000001 income + 0.000017 age + 0.00007 nk

        + 0.0085 ET-1 + 0.0070 ET-2 - 0.0284 ET-3 - 0.0074 ET-4

Predictor         Coef     SE Coef                 T      P

Constant       -0.00105     0.01375        -0.08  0.939

totexp          0.00000471  0.00006080   0.08  0.938

income        -0.00000082  0.00004314  -0.02  0.985

age              0.0000167   0.0003090     0.05  0.957

nk                0.000071     0.004785       0.01  0.988

ET-1             0.00847       0.02580         0.33  0.743

ET-2             0.00700       0.02584         0.27  0.786

ET-3           -0.02842       0.02587        -1.10  0.272

ET-4          -0.00743       0.02592         -0.29  0.774

As the T value decreases, the P value increases which is noticeable above due to the inclusions of lags. Most of the T values are now closer to 0 which shows that there is less reliability of the coefficient.  ET-3 will be included in a further regression analysis as it is significant with a value of -1.10, conversely ET-1, ET-2, ET-4 will be removed as they are insignificant with low T values.     

S = 0.0905514   R-Sq = 0.1%   R-Sq(adj) = 0.0%

The inclusion of lags has caused the r-squared to be really low at 0.1% which certainly suggests that the model is inadequate for explaining the Y variable. It also indicates that data points are distributed away from the line of best fit and that the independent variables are poor predictors for the dependent variable. The remaining percentage (99.9%) is the variation which is unknown.

 

Analysis of Variance

 

Source               DF         SS        MS     F      P

Regression        8    0.012127  0.001516  0.18  0.993

Residual Error  1506  12.348529  0.008200

Total                1514  12.360656

Source  DF    Seq SS

totexp   1  0.000029

income  1  0.000005

age       1  0.000011

nk         1  0.000000

ET-1      1  0.000903

ET-2      1  0.000544

ET-3      1  0.009961

ET-4      1  0.000673

Since the F value is small at 0.18 and the P value is high 0.993 it reveals that there is no relationship between the Y dependent variable and X independent variables. This indicates that as it is 0.18 it does not support the model and therefore the slopes are equal to 0.


Related Discussions:- Lagrange multipliertest

Compound symmetry, Compound symmetry : The property possessed by the varian...

Compound symmetry : The property possessed by the variance-covariance matrix of the set of multivariate data when its chief diagonal elements are equal to each other, and in additi

O''brien''s two-sample tests, O'Brien's two-sample tests are the extension...

O'Brien's two-sample tests are the extensions of the conventional tests for assessing the differences between treatment groups which take account of the possible heterogeneous nat

Explain personal probabilities, Personal probabilities : A radically specia...

Personal probabilities : A radically special approach for allocating probabilities to events than, for instance, the commonly used long-term relative frequency approach. In this ty

Expected frequencies, A term commonly encountered in the analysis of the co...

A term commonly encountered in the analysis of the contingency tables. Such type of frequencies are the estimates of the values to be expected under hypothesis of interest. In a tw

Ecme algorithm, The Expectation/Conditional Maximization Either algorithm w...

The Expectation/Conditional Maximization Either algorithm which is the generalization of ECM algorithm attained by replacing some of the CM-steps of ECM which maximize the constrai

Gaussian process, The generalization of the normal distribution used for th...

The generalization of the normal distribution used for the characterization of functions. It is known as a Gaussian process because it has Gaussian distributed finite dimensional m

Multi-hit model, Multi-hit model is the model for a toxic response which r...

Multi-hit model is the model for a toxic response which results from the random occurrence of one or the more fundamental biological events. A response is supposed to be induced o

Estimation, The process of providing the numerical value for the population...

The process of providing the numerical value for the population parameter on the basis of information gathered from a sample. If a single ?gure is computed for the unknown paramete

Best subsets regression, In the time series plot and scatter graphs there w...

In the time series plot and scatter graphs there were many outliers that were clearly visible. These have been removed to identify if they were influential or had high leverage and

Write Your Message!

Captcha
Free Assignment Quote

Assured A++ Grade

Get guaranteed satisfaction & time on delivery in every assignment order you paid with us! We ensure premium quality solution document along with free turntin report!

All rights reserved! Copyrights ©2019-2020 ExpertsMind IT Educational Pvt Ltd