PS3_solution - 1 Problem Set 3 Note: This assignment must...

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1 Problem Set 3 Note: This assignment must be done with GRETL for full credit. Use the data disk from Pindyck and Rubinfeld to complete the assignment. Due: July 9 th , 2009. 1. Use file EX32 on the PR data disk to calculate the mean, standard deviation, and skewness of Personal Consumption Expenditures (GC). Plot the GC histogram and non-parametric kernel density. Summary Statistics, using the observations 1954:1 - 1995:2 for the variable GC (166 valid observations) Mean Median Minimum Maximum 1578.29 950.450 236.400 4851.03 Std. Dev. C.V. Skewness Ex. kurtosis 1387.85 0.879336 0.876843 -0.578401 0 0.05 0.1 0.15 0.2 0.25 0 1000 2000 3000 4000 5000 Relative frequency GC
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2 0 5e-005 0.0001 0.00015 0.0002 0.00025 0.0003 0.00035 0.0004 0.00045 1000 2000 3000 4000 5000 6000 7000 Estimated density of GC Epanechnikov kernel bandwidth = 449.327 2. Use file EX32 to regress Personal Consumption Expenditures (GC) on Aggregate Disposable Income (GYD). That is, estimate the model i i i GYD GC ε β α + + = Model 1: OLS estimates using the 166 observations 1954:1-1995:2 Dependent variable: GC Coefficient Std. Error t-ratio p-value const -21.6063 3.75998 -5.7464 <0.00001 *** GYD 0.926893 0.00164781 562.5010 <0.00001 *** Mean dependent var 1578.288 S.D. dependent var 1387.846 Sum squared resid 164641.3 S.E. of regression 31.68454 R-squared 0.999482 Adjusted R-squared 0.999479 F(1, 164) 316407.3 P-value(F) 2.4e-271 Log-likelihood -808.2053 Akaike criterion 1620.411 Schwarz criterion 1626.635 Hannan-Quinn 1622.937 rho 0.829251 Durbin-Watson 0.350343
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PS3_solution - 1 Problem Set 3 Note: This assignment must...

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