ProblemSet6Ans - ECON 3200 Introduction to Econometrics...

Info iconThis preview shows pages 1–2. Sign up to view the full content.

View Full Document Right Arrow Icon

Info iconThis preview has intentionally blurred sections. Sign up to view the full version.

View Full DocumentRight Arrow Icon
This is the end of the preview. Sign up to access the rest of the document.

Unformatted text preview: ECON 3200 Introduction to Econometrics Answers for Problem Set 6 Problem 1 (Wooldridge 11.4) Assuming y = 0 is a special case of assuming y nonrandom, and so we can obtain the variances from (11.21): Var( y t ) = 2 e t and Var( y t+h ) = 2 e ( t + h ), h > 0. Because E( y t ) = 0 for all t (since E( y ) = 0), Cov( y t , y t+h ) = E( y t y t+h ) and, for h > 0, E( y t y t+h ) = E[( e t + e t-1 + K e 1 )( e t+h + e t+h-1 + K + e 1 )] = E( 2 t e ) + E( 2 1 t e- ) + K + E( 2 1 e ) = 2 e t , where we have used the fact that { e t } is a pairwise uncorrelated sequence. Therefore, Corr( y t , y t+h ) = Cov( y t , y t+h )/ Var( ) Var( ) t t h y y + = t / ( ) t t h + = /( t t h + . Problem 2 (Wooldridge 11.6) 1. The t statistic for H : 1 = 1 is t = (1.104 1)/.039 2.67. Although we must rely on asymptotic results, we might as well use df = 120 in Table G.2. So the 1% critical value against a two-sided alternative is about 2.62, and so we reject H : 1 = 1 against H 1 : 1 1 at the 1% level. It is hard to know whether the estimate is practically different from...
View Full Document

This note was uploaded on 10/03/2009 for the course ECON 3200 taught by Professor Neilsen during the Spring '08 term at Cornell University (Engineering School).

Page1 / 3

ProblemSet6Ans - ECON 3200 Introduction to Econometrics...

This preview shows document pages 1 - 2. Sign up to view the full document.

View Full Document Right Arrow Icon
Ask a homework question - tutors are online