8. If you have a times series data set with 100 years worth of data that you use to estimate a distributed lag model of order 3, how many degrees of freedom will you have for hypothesis testing on estimated coefficients?a.) 93b.) 95c.) 99d.) 100Ans: aLevel: Moderate/DifficultSection: 9.29. When autocorrelation is present, which assumption of the linear regression model is incorrect?s) =0, t≠sd.) et N(0,2)10. What is second order sample autocorrelation?
11. When using the LM test for serial correlation, what is the null hypothesis?12. When performing a LM test for serial correlation, how is the test statistic distributed when the null hypothesis is true?a.) 2b.) tn-1c.) Fd.) zAns: aLevel: ModerateSection: 9.413. When a lagged dependent variable is included as a regressor, we must use a weaker form of assumption TSMR2 that allows the error term to be correlated with future values of explanatory variables, but not present or past values. What implications does this weaker assumption have for our regressors?
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- Winter '07
- Econometrics, 100 years, Untransformed