Assignment1 - Assignment 1: Eviews Exercise 1. Simulation...

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Assignment 1: Eviews Exercise 1. Simulation Study (1) Data Generating Process Y = β 1 + X 2 β 2 + X 3 β 3 + X 4 β 4 + X 5 β 5 + e, e N (0 T × 1 2 I T ) (1) Suppose that T = 200 , β 1 = 5 , β 2 = 2 , β 3 = 3 , β 4 = β 5 = 0 and σ 2 = 1 . (1.1) Generate the independent variables X 2 , X 3 , X 4 and X 5 from the standard normal N (0 T × 1 ,I T ) independently. (1.2) Generate the error term. (1.3) Construct the dependent variable Y based on the equation (1). (2) Now estimate the following regression equations Model 1: Y = β 1 + X 2 β 2 + e Model 2: Y = β 1 + X 2 β 2 + X 3 β 3 + e Model 3: Y = β 1 + X 2 β 2 + X 3 β 3 + X 4 β 4 + X 5 β 5 + e Model 4:
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