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Unformatted text preview: Econ 444 Elementary Econometrics Fall 2007 SUMMARIES AND SAMPLE PROBLEMS FOR CHAPTER 9 AND SAMPLE TRUEFALSE PROBLEMS SUMMARIES KEY TERMS AND CONCEPTS Serial correlation, Positive serial correlation, Negative serial correlation, DurbinWatson test, CochraneOrcutt technique, Unit root FORMULAS AND RESULTS CochraneOrcutt 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 B4, B5, and B6 to test the null hypothesis of no serial correlation given the following DurbinWatson statistics for serial correlation. Here, onesided positive test means that the alternative hypothesis is that positive serial correlation exists. (a) d = 0 . 81 ,K = 3 ,N = 21 , 5 percent, onesided positive test (b) d = 3 . 48 ,K = 2 ,N = 15 , 1 percent, onesided positive test (c) d = 1 . 56 ,K = 5 ,N = 30 , 1 percent, onesided 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.
 Fall '07
 OGAKI
 Econometrics

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