Lab3 - File WINWORD\ECONMET\PcGive exercises\LAB3.DOC...

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1 File: WINWORD\ECONMET\PcGive exercises\LAB3.DOC APPLIED ECONOMETRICS: COMPUTER SESSION 3 INSTRUMENTAL VARIABLES ESTIMATION 1. For this exercise, you will need to load your latest saved version of the GiveWin/PcGive file (probably called Nic3.in7 or something similar). To ensure comparability with previous estimation results, once again do all regressions using the sample period 1970q1 1990q4, and again retain the final 8 observations for prediction purposes. 2. For later steps in this exercise, you will need to construct four more variables: LG = log(G) LWTI = log(WTI) And then DLG=LG-LG(-1) DLWTI = LWTI-LWTI(-1). To obtain these, select Calculator from the Tools menu, mark the variable G in the right-hand side variables listing box, then click on the log button. Click on the = button in the calculator, and accept LG as the name for the transformed variable. Use a similar procedure to obtain LWTI. The variables DLG and DLWTI are first differences. These can be obtained using the diff button in the calculator. 3. Having added some more variables to your GiveWin/PcGive file, it is a good idea now to save the updated data file under a new name, say Nic4.in7. 4. Estimate by OLS the model u + DUM + LCE + LNW + LY + LNW + LY + LY + = LCE t t 8 1 - t 7 1 - t 6 1 t 5 1 t 4 1 t 3 t 2 1 t β β β β β ∆∆ β β β -
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This note was uploaded on 03/01/2012 for the course EC 408 taught by Professor Rogerperman during the Fall '07 term at Uni. Strathclyde.

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Lab3 - File WINWORD\ECONMET\PcGive exercises\LAB3.DOC...

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