105351040

Economectrics hw5

C8.7

(i)
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Beta white hat

=

0.128820
heteroskedasticity-robust standard error=0.025869

heteroskedasticity-robust 95%
0.128820 0.0258691.96 [0.0781170.17952324]
non-robust95%:0.128820 0.0197321.96 [0.0901450.167495]

(ii)
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0 213 1 WLS

C8.8

(i)
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COLGPA 0.412952 HSGPA + 0.013344 ACT 0.071034 SKIPPED + 0.124439 PC

+ 1.356509

(ii)

(iii)
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Weighted Statistics

t R-squared
WLS
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(iv)

(iii)
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C10.2

(i)

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(ii)

LCHNIMP F 0.540248P-value=0.78
H0
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(iii)

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C10.8

(i)

P-value=0.9397H0 pet-3 & pet-4

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(ii)

LRP with 4 lags = 0.124190, se = 0.029572

LRP with 2 lags = 0.101, se = 0.030
4 lags LRP standard error
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(iii)

gama 0 hat = 0.069197; gama 1 hat = 0.056909; gama 2 hat = 0.011560

delta 0 hat = gama 0 hat = 0.069197;
gama 1 hat = gama 0 hat + gama 1 hat + gama 2 hat = 0.023848
delta 1 hat = gama 0 hat + gama 1 hat + gama 2 hat = 0.023848
delta 2 hat = gama 0 hat + 2 x gama 1 hat + 4 x gama 2 hat = 0.001619
delta 3 hat = gama 0 hat + 3 x gama 1 hat + 9 x gama 2 hat = 0.00251
delta 4 hat = gama 0 hat + 4 x gama 1 hat + 16 x gama 2 hat = 0.26521
LRP = 0.069197 + 0.023848 + 0.001619 + 0.00251 + 0.026521 = 0.123695

unrestricted model 0.124190

C10.9

(i)
1 > 0
2 < 0
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(ii)

rsp500 t hat = 18.84306 + 0.036417 x picp t 1.361689i3 t

0.036417
- 1.361689

(iii)

p-value 0.0121

(iv)