Assignment2 - Res Ec 703: Econometrics Assignment No.2:...

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Res Ec 703: Econometrics Assignment No.2: Assigned September 21, 2010; Due September 28, 2010 Present copies of your SAS instruction files, i.e., the actual SAS computer programs. Present concise explanations with your statistical output. Consider problem 13.8 on page 441 of the text. The relevant data set is Table 13.5 on page 443 of the text. This is the famous “Longley Data Set” used to explore the consequences of multicollinearity. As with Assignment No. 1, I placed this data set on the Res Ec 703 web site. It is located in the data section to this course. It is called Table 13.5.txt . We will not explore multicollinearity. So, disregard parts (b) and (c) of the problem as presented in the text. Part (a) of the problem in the text is actually part (4) in the write-up below. Here is the plan. Background for this assignment is the Fisher paper, sections 3.2 and 3.3. In terms of the BM notes, it is BM pages 33-top 36. As indicated in the steps below, we will test parameter stability or constancy by starting with a totally unrestricted model
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This note was uploaded on 12/08/2011 for the course ECON 703 taught by Professor Bernardmorzuch during the Fall '10 term at UMass (Amherst).

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