Lab Assignment 9

# Lab Assignment 9 - 0.32192 -0.87 0.3892 : The coefficient...

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Lab 9 1. Regress inf on unem using reg procedure. What is the coefficient of unem ? Is it significant? Parameter Estimates Parameter Standard Variable DF Estimate Error t Value Pr > |t| Intercept 1 1.42361 1.71902 0.83 0.4118 unem 1 0.46763 0.28913 1.62 0.1125 : The coefficient of unem is 0.46763, and its p-value is 0.1125, which is not significant. 2. Implement the Durbin-Watson test in the regression. What is the test statistic? What conclusion do you draw? The REG Procedure Model: MODEL1 Dependent Variable: inf Durbin-Watson D 0.803 Pr < DW <.0001 Pr > DW 1.0000 Number of Observations 49 1st Order Autocorrelation 0.572 : Durbin-Watson D is 0.803. There exists positive autocorrelation since Pr<DW is <.0001. 3. Use the Cochrane-Orcutt method to refit the model. What is the coefficient of unem ? Is it significant? Parameter Estimates Parameter Standard Variable DF Estimate Error t Value Pr > |t| Intercept 1 2.35406 0.87008 2.71 0.0095 dunem 1 -0.27981

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Unformatted text preview: 0.32192 -0.87 0.3892 : The coefficient of unem is -0.27981, and it is not significant (p-value: 0.3892). 4. Use autoreg procedure in SAS to refit the model by MLE, allowing AR(1) error. What is the coefficient of unem ? Is it significant? The AUTOREG Procedure Maximum Likelihood Estimates SSE 241.740564 DFE 46 MSE 5.25523 Root MSE 2.29243 SBC 229.844245 AIC 224.168785 MAE 1.50069103 AICC 224.702118 MAPE 74.8230375 Regress R-Square 0.0970 Durbin-Watson 1.9364 Total R-Square 0.5029 Standard Approx Variable DF Estimate Error t Value Pr > |t| Intercept 1 8.2318 2.3553 3.50 0.0011 unem 1 -0.7048 0.3485 -2.02 0.0490 AR1 1 -0.7721 0.1005 -7.68 <.0001 Autoregressive parameters assumed given. Standard Approx Variable DF Estimate Error t Value Pr > |t| Intercept 1 8.2318 2.2290 3.69 0.0006 unem 1 -0.7048 0.3170 -2.22 0.0312 : The coefficient of unem is -0.7048 and significant at 5% significance level....
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## This note was uploaded on 02/21/2012 for the course ECON 500 taught by Professor Professor during the Fall '10 term at SUNY Buffalo.

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Lab Assignment 9 - 0.32192 -0.87 0.3892 : The coefficient...

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