Econometrics

Download A Practical Introduction to Econometric Methods Classical by Patrick Kent Watson, Sonja Sabita Teelucksingh PDF

By Patrick Kent Watson, Sonja Sabita Teelucksingh

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Highly significant. 3 OLS Regression fit of Mt = β1 + β3 pmt/pdt + β4 Cgt + ut ============================================================== LS // Dependent Variable is IMPORTS Date: 08/12/95 Time: 18:44 Sample: 1967 1991 Included observations: 25 ============================================================== Variable Coefficient Std. Error T-Statistic Prob. D. E. 71113 Sum squared resid 6517534. 83 on imports). Furthermore, the R2 and F-statistics leave us in no doubt that this is a good fit.

E) Show that the OLS estimator of β is unbiased and determine its covariance matrix. f) State and prove the Gauss–Markov theorem. 19 The General Linear Regression Model 4. You wish to examine the following savings function for the island of Dominica: Sd = α 0 + α1 Y + α 2 S f + α 3 i r + u where Sd is the level of domestic savings, Y is a measure of national income, Sf the level of foreign savings inflows, ir a measure of the real rate of interest and u the usual disturbance term. a) How would you justify, a priori, the choice of the function used?

Error T-Statistic Prob. D. E. 08145 Sum squared resid 3205323. 1. It would appear that we did well to drop Cg from the equation. 2 above reveals that Cg is highly correlated with both Y and pm/pd. So multicollinearity is indeed a problem, and the importance of Cg to the explanation of imports may have been masked. 3. This time it is the income variable that is dropped and the results are astonishing. ) highly significant. 3 OLS Regression fit of Mt = β1 + β3 pmt/pdt + β4 Cgt + ut ============================================================== LS // Dependent Variable is IMPORTS Date: 08/12/95 Time: 18:44 Sample: 1967 1991 Included observations: 25 ============================================================== Variable Coefficient Std.

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