703 Lecture 18

703 Lecture 18 - Res Ec 703 Econometrics Order o f Topics...

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Order of Topics And Readings For Lecture 18, November 9,2010 Source Continuing Autocorrelation Assignment Due? 6 BM Handwritten Summary: Two General Estimation Techniques When Single Page Presented With Autocorrelation In The Residuals BM Unnumbered More Sophisticated Autocorrelation Procedures: SAS Programs Single Page (This page is also helpful for Assignment 7). GHJ 528-529 A look at the nonlinear least squares (NLS) estimation (Condensed approach with more verbal detaiL Note that the full regression into one page) program is presented at the bottom ofthe BM single page above. Assignment Problem 16.2, page 538, parts (a)-(c); due November 18, 2010. 7 Use both PROC REG and PROC AUTOREG to do the appropriate estimation. Computer 223-229 You will find pages 223~226 very helpful for writing the SAS Handbook programs required for Assignment 7. Here is a more specific set of instructions for Assignment 7. · Estimate by OLS. Use PROC REG and the DW option to test for autocorrelation. (See Computer Handbook, page 228). · Retrieve the residuals. Regress e I on e I_I. (See Computer Handbook, bottom ofpage 223 to top ofpage 224). · Use the p (rho) transformation to transform the original variables~ Rerun the regression using this correction. Retain the first observation. (See Computer Handbook, middle ofpage 224 to top ofpage 225). · Use PROC AUTOREG with the nlag = 1 option. Compare this result with the result directly above. (See Computer Handbook, middle ofpage 226). End of instructions for Assignment 7

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703 Lecture 18 - Res Ec 703 Econometrics Order o f Topics...

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