FP2 - Econ 444 Elementary Econometrics Fall 2007 SUMMARIES...

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Unformatted text preview: Econ 444 Elementary Econometrics Fall 2007 SUMMARIES AND SAMPLE PROBLEMS FOR CHAPTER 9 AND SAMPLE TRUE-FALSE PROBLEMS SUMMARIES KEY TERMS AND CONCEPTS Serial correlation, Positive serial correlation, Negative serial correlation, Durbin-Watson test, Cochrane-Orcutt technique, Unit root FORMULAS AND RESULTS Cochrane-Orcutt technique for dealing with first order serial correlation Y i = + 1 X i + i where i = i- 1 + u i Then define Y * i = Y i- Y i- 1 , X * i = X i- X i- 1 Y * i = (1- ) + 1 X * i + u i SAMPLE PROBLEMS 1. Use Statistical Tables B-4, B-5, and B-6 to test the null hypothesis of no serial correlation given the following Durbin-Watson statistics for serial correlation. Here, one-sided positive test means that the alternative hypothesis is that positive serial correlation exists. (a) d = 0 . 81 ,K = 3 ,N = 21 , 5 percent, one-sided positive test (b) d = 3 . 48 ,K = 2 ,N = 15 , 1 percent, one-sided positive test (c) d = 1 . 56 ,K = 5 ,N = 30 , 1 percent, one-sided positive test...
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This note was uploaded on 07/17/2008 for the course ECON 444 taught by Professor Ogaki during the Fall '07 term at Ohio State.

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FP2 - Econ 444 Elementary Econometrics Fall 2007 SUMMARIES...

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