Econometric take home APPS_Part_15

Econometric take home APPS_Part_15 - To compute the Wald...

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

View Full Document Right Arrow Icon
59 To compute the Wald statistic, we require the unrestricted regression. The parameter estimates are given above. The sums of squares are 465.708, 785.399, and 145.055 for i = 1, 2, and 3, respectively. For the common estimate of σ 2 , we use the total sum of squared GLS residuals, 1396.162. Then, W = (10/2){[(1396.162/30)/(465.708/10) - 1] 2 + . ..} = 25.21. The Wald statistic is far larger than the LM statistic. Since there are two restrictions, at significance levels of 95% or 99% with critical values of 5.99 or 9.21, the two tests lead to different conclusions. The likelihood ratio statistic based on the FGLS estimates is χ 2 = 30ln(1396.162/30) - 10ln(465.708/10) . .. = 6.42 which is between the previous two and between the 95% and 99% critical values. Applications As usual, the applications below require econometric software. The computations can be done with any modern software package, so no specific program is recommended. --> read $ Last observation read from data file was 200 End of data listing in edit window was reached --> REGRESS ; Lhs = I ; Rhs = F,C,one $ +----------------------------------------------------+ | Ordinary least squares regression | | LHS=I Mean = 145.9582 | | Standard deviation = 216.8753 | | WTS=none Number of observs. = 200 | | Model size Parameters = 3 | | Degrees of freedom = 197 | | Residuals Sum of squares = 1755850. | | Standard error of e = 94.40840 | | Fit R-squared = .8124080 | | Adjusted R-squared = .8105035 | | Model test F[ 2, 197] (prob) = 426.58 (.0000) | +----------------------------------------------------+ +--------+--------------+----------------+--------+--------+----------+ |Variable| Coefficient | Standard Error |t-ratio |P[|T|>t]| Mean of X| +--------+--------------+----------------+--------+--------+----------+ F | .11556216 .00583571 19.803 .0000 1081.68110 C | .23067849 .02547580 9.055 .0000 276.017150 Constant| -42.7143694 9.51167603 -4.491 .0000 --> CALC ; R0=Rsqrd $ --> REGRESS ; Lhs = I ; Rhs = F,C,one ; Cluster = 20 $ +----------------------------------------------------+ | Ordinary least squares regression | | LHS=I Mean = 145.9582 | | Standard deviation = 216.8753 | | WTS=none Number of observs. = 200 | | Model size Parameters = 3 | | Degrees of freedom = 197 | | Residuals Sum of squares = 1755850. | | Standard error of e = 94.40840 | | Fit R-squared = .8124080 | | Adjusted R-squared = .8105035 | | Model test F[ 2, 197] (prob) = 426.58 (.0000) | +----------------------------------------------------+ +---------------------------------------------------------------------+
Background image of page 1

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

View Full DocumentRight Arrow Icon
Image of page 2
This is the end of the preview. Sign up to access the rest of the document.

Page1 / 4

Econometric take home APPS_Part_15 - To compute the Wald...

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