Nicholas Miles
Econ 2223
Assignment 3
Question 1
Positive autocorrelation is almost certainly present in the case of regression 1 (), as rho = 0.84 is close
to 1 and the Durbin-Watson statistic is 0.37 with an associated p-value of 2.17e-007. This suggest
Dougherty: Introduction to Econometrics 4e
Instructors Manual
2
PROPERTIES OF THE REGRESSION COEFFICIENTS
AND HYPOTHESIS TESTING
2.1 Types of data and regression model
2.2 Assumptions for regression models with nonstochastic regressors
2.3 The random comp
Dougherty: Introduction to Econometrics 4e
Instructors Manual
REVIEW: RANDOM VARIABLES, SAMPLING, AND ESTIMATION
Often the problems experienced by students with econometrics have nothing to do with econometrics
as such but arise as a consequence of gaps i
Lecture: Model Specication
Charles J. Saunders
University of Western Ontario
Econometrics
Winter 2016
Multiple Regression Model
Our model so far is:
Yi = 0 + 1 X1,i + 2 X2,i + + K XK ,i + ui
Specication of the relationship is linear
Can OLS deal with diff
Lecture: Multiple Regression
Charles J. Saunders
University of Western Ontario
Econometrics
Winter 2016
Adding Regressors
Assume we have two variables that affect our dependent
variable
What variables would you use to explain:
Income of individuals
Person
Chapter 4: Transformations of variables
Chapter 4: Transformations of variables
Overview
This chapter shows how least squares regression analysis can be extended
to fit nonlinear models. Sometimes an apparently nonlinear model can be
linearised by taking
Chapter 5: Dummy variables
Chapter 5: Dummy variables
Overview
This chapter explains the definition and use of a dummy variable, a device
for allowing qualitative characteristics to be introduced into the regression
specification. Although the intercept d
Lecture: Multiple Regression
Charles J. Saunders
University of Western Ontario
Econometrics
Winter 2016
Adding Regressors
Assume we have two variables that affect our dependent
variable
What variables would you use to explain:
Income of individuals
Person
Econ 2223-001 Front Matter
Economics Department - Western University
Midterm Exam
Charles Saunders
Winter 2016
Name: _
Student #: _
Exam Materials:
Exam paper includes exam questions, and statistic tables.
Exam papers and booklets with no name will NOT be
Solutions to Assignment 4
Question 1
a),b) and c)
i)
Figure 1: Time series plots of AR(1), MA(1) and ARMA(1,1) models
1
ii) Note: signicance level used in this question is 5%
Figure 2: ACF and PACF of AR(1) model, 1 = 0.7
For AR(1) model wit
ECON 2223 - Assignment V
Charles Saunders, Western University
Due date : Tuesday April 5, 2016 at 4 :00 pm
Assignments must be submitted as a hard copy, in class or my office.
You may hand in a single assignment for a group of 3 or fewer.
Part I : [50 mar
Solutions to Assignment 5
Question 1
a)
Figure 1: Time series plots and ACF/PACF of X and Y
The time series xt has a stochastic downward sloping trend. The mean of xt is constant, but the
variance of xt is time-dependent. The time series yt increa
Solutions to Assignment 3
Question 1
a)
Model 1: OLS, using observations 19461954 (T = 9)
Dependent variable: y
Coecient
const
X
Std. Error
t-ratio
p-value
0.266249
0.0470278
0.305353
0.0265686
0.8719
1.7701
0.4121
0.1200
Model 2: OLS, using observations
Solutions to Assignment 1
Note: Since the data are generated randomly, it is possible to have dierent results, but the same
principles apply. Using my data set, following output is given by GRETL.
Model 1: OLS, using observations 125
Dependent variable: y
Question 1
a) The graph of X seems to show a negative trend, though it does not seem very strong.
The graph of Y on the other hand shows a significant positive linear trend, and in fact
appears to be almost a straight line sloped upwards. This strongly su
a) The coecient esmates for the constant term and X2 were fairly consistent across the three
regressions, whereas X3 exhibited much more variability. X3 was fairly similar in the rst
regression and the third regression, though it was markedly dierent in t
ECON 2223 - Assignment V
Charles Saunders, Western University
Due date : Tuesday April 5, 2016 at 4 :00 pm
Assignments must be submitted as a hard copy, in class or my office.
You may hand in a single assignment for a group of 3 or fewer.
Part I : [50 mar
ECON 2223 - Assignment IV
Charles Saunders, Western University
Due date : Thursday March 24, 2016 at 4 :00 pm
Assignments must be submitted as a hard copy, in class or my office.
Part I : [55 marks] Problems
1. Consider the model :
ui
1
Xi
Yi
= 0 + 1
+
Zi
Answers R : ECON 2223 - Assignment IV
Charles Saunders, Western University
Due date : Thursday March 24, 2016 at 4 :00 pm
Assignments must be submitted as a hard copy, in class or my office.
Part I : [55 marks] Problems
1. Consider the model :
ui
1
Xi
Yi
ECON 2223 - Assignment II
Charles Saunders, Western University
Due date : Thursday February 11, 2016 at 4 :00 pm
Assignments must be submitted as a hard copy, in class or my oce.
Part I : [40 marks]
1. (10 marks) If X and Y are independent, so fXY (x|y) =