classwork for chapter 8

classwork for chapter 8 - Handout for chapter 8. LM tests of

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Handout for chapter 8. LM tests of heteroscedasticity. 1- Dependent variable: reskwh VARIABLE COEFFICIENT STDERROR T STAT 2Prob(t > |T|) 0) const 86.7796 40.2790 2.154 0.034067 ** 3) nocust 1.2855 0.0517 24.840 0.000000 *** 7) cdd -0.0539 0.0370 -1.455 0.149296 Mean of dep. var. 1035.081 S.D. of dep. variable 233.605 Error Sum of Sq (ESS) 561670 Std Err of Resid. (sgmahat) 81.7713 Unadjusted R-squared 0.880 Adjusted R-squared 0.877 F-statistic (2, 84) 308.938 p-value for F() 0.000000 Durbin-Watson stat. 2.373 First-order autocorr. coeff -0.194 -------------------------------------------------------------------------- 2- Dependent variable: usq1 VARIABLE COEFFICIENT STDERROR T STAT 2Prob(t > |T|) 0) const 4464.4739 28683.5948 0.156 0.876695 9) pop 5.5238 34.8497 0.159 0.874450 3) nocust -20.6490 71.2685 -0.290 0.772750 13) sq_nocus 0.0144 0.0368 0.392 0.696232 7) cdd -10.4019 3.5029 -2.969 0.003911 *** Mean of dep. var. 6455.982 S.D. of dep. variable 8163.577 Error Sum of Sq (ESS) 4.7557e+009 Std Err of Resid. (sgmahat) 7615.5309 Unadjusted R-squared 0.170 Adjusted R-squared 0.130 F-statistic (4, 82) 4.20581 p-value for F() 0.003794 Durbin-Watson stat. 2.161 First-order autocorr. coeff -0.097 ------------------------------------------------------------------------- 3- Dependent variable: abu VARIABLE COEFFICIENT STDERROR T STAT 2Prob(t > |T|) 0) const 80.2952 6.5371 12.283 0.000000 *** 7) cdd -0.2524 0.0760 -3.322 0.001326 *** 12) nococdd 0.0002345 0.0000980 2.392 0.018973 ** Mean of dep. var. 63.637 S.D. of dep. variable 49.338 Error Sum of Sq (ESS) 168751 Std Err of Resid. (sgmahat) 44.8212 Unadjusted R-squared 0.194 Adjusted R-squared 0.175 F-statistic (2, 84) 10.1039 p-value for F() 0.000117 Durbin-Watson stat. 2.095 First-order autocorr. coeff -0.060 ------------------------------------------------------------------------- 4- Dependent variable: l_usq1 VARIABLE COEFFICIENT STDERROR T STAT 2Prob(t > |T|) 0) const 14.3364 6.2336 2.300 0.023998 ** 3) nocust -0.0186 0.0171 -1.089 0.279217 13) sq_nocus 0.0000139 0.0000113 1.233 0.221032 7) cdd -0.0115 0.0037 -3.075 0.002863 *** 14) sq_cdd 0.0000105 4.8942e-006 2.143 0.035045 ** Mean of dep. var. 7.178 S.D. of dep. variable 2.823 Error Sum of Sq (ESS) 559.1256 Std Err of Resid. (sgmahat) 2.6112 Unadjusted R-squared 0.184 Adjusted R-squared 0.145 F-statistic (4, 82) 4.63657 p-value for F() 0.002004 Durbin-Watson stat. 2.226 First-order autocorr. coeff -0.121
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Goldfeld-Quandt and White’s Tests of heteroscedasticity MODEL 5: OLS estimates using the 33 observations 1972.2-1980.2 (data 9-3) Dependent variable: reskwh VARIABLE COEFFICIENT STDERROR T STAT 2Prob(t > |T|) 0) const -124.5433 101.2277 -1.230 0.228134 3) nocust 1.7129 0.1766 9.698 0.000000 *** 7) cdd -0.1359 0.0557 -2.441 0.020765 ** Mean of dep. var. 826.005 S.D. of dep. variable 132.962 Error Sum of Sq (ESS) 133427 Std Err of Resid. (sgmahat) 66.6901 Unadjusted R-squared 0.764 Adjusted R-squared 0.748 F-statistic (2, 30) 48.5993 p-value for F()
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This note was uploaded on 02/28/2008 for the course ECON 414 taught by Professor Rashidian during the Summer '07 term at USC.

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classwork for chapter 8 - Handout for chapter 8. LM tests of

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