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
,σ
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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This note was uploaded on 09/12/2010 for the course GERAS 099876f taught by Professor Gtewewa during the Spring '09 term at Aberystwyth University.
 Spring '09
 gtewewa

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