ECON0701_2009_Sem_1_tutorial_6_ques_1-3_plus_extra_slides

# ECON0701_2009_Sem_1_tutorial_6_ques_1-3_plus_extra_slides -...

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ECON0701 Tutorial 6 2009 Sem1 Angela Mak Question 1 a) 96 . 1 5 . 1 4 3 ) ( 1 1 c t se t (Or you may use 025 . 0 ), 1 2 63 ( t for 5% sig. level, two sided test) Fail to reject b) ) , ( cov 4 ) ( var 4 ) ( var 5 2 ) 2 ( 5 2 1 0 1 0 1 0 1 0 1 0 se t 96 . 1 905 . 0 c t (or use 025 . 0 ), 1 2 63 ( t ) Fail to reject

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c) ) ( 4 2 1 0 2 1 0 se t ) , ( cov 2 ) , ( cov 2 ) , ( cov 2 ) 2 ( var ) ( var ) ( var 4 2 ^ 1 2 0 1 0 1 0 2 1 0 ) 0 ( 2 ) 1 ( 2 ) 2 ( 2 3 4 3 4 1 3 2 16 6 96 . 1 5 . 1 c t (or use 025 . 0 ), 1 2 63 ( t ) Fail to reject
Question 2 a) Skipped b) 0 : 5 4 3 0 H 0 1 : H H is not true (or at least one of them is non-zero) ) 1 /( / ) ( k n SSR J SSR SSR F U U R TWO ways to do it: Method 1 : Doing two regressions, one restricted, one unrestricted Unrestricted model--- Command: ls log(y) c log(x1) log(x2) log(x3) log(x4) log(x5) log(x6)

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Restricted model--- Command: ls log(y) c log(x1) log(x2) log(x6) ) 1 /( / ) ( k n SSR J SSR SSR F U U R ) 1 6 63 /( 332405 . 3 3 / ) 332405 . 3 524524 . 3 (
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