Econometrics Homework

By: Mikayla LeGrande

1) A.
wage96 versus height85 (with least squares fit)
1600
Y = -6.98 + 0.315X

1400

1200

1000
wage96

800

600

400

200

0
50 55 60 65 70 75 80
height85

B.
Model 1: OLS, using observations 1-12686 (n = 6594)
Missing or incomplete observations dropped: 6092
Dependent variable: wage96

Coefficient Std. Error t-ratio p-value

const −9.24830 5.77486 −1.601 0.1093
height81 0.457464 0.245932 1.860 0.0629 *
height85 −0.106768 0.242537 −0.4402 0.6598

Mean dependent var 14.27978 S.D. dependent var 27.92671

Sum squared resid 5128079 S.E. of regression 27.89342
R-squared 0.002685 Adjusted R-squared 0.002383
F(2, 6591) 8.873495 P-value(F) 0.000142
Log-likelihood −31302.39 Akaike criterion 62610.78
Schwarz criterion 62631.16 Hannan-Quinn 62617.82
 ^wage96 = -9.25 + 0.457*height81 - 0.107*height85
(5.77) (0.246) (0.243)

n = 6594, R-squared = 0.003

(standard errors in parentheses)

3) A.
Model 1: OLS, using observations 1-67
Dependent variable: Unemployment

Coefficient Std. Error t-ratio p-value

const 6.23611 0.263905 23.63 <0.0001 ***
LagDemPresident −0.955466 0.387976 −2.463 0.0164 **

Mean dependent var 5.794030 S.D. dependent var 1.643064

Sum squared resid 162.9714 S.E. of regression 1.583431
R-squared 0.085343 Adjusted R-squared 0.071271
F(1, 65) 6.064872 P-value(F) 0.016448
Log-likelihood −124.8464 Akaike criterion 253.6929
Schwarz criterion 258.1023 Hannan-Quinn 255.4377
B.
Model 2: OLS, using observations 16-67 (n = 52)
Dependent variable: ChangeGDPpc

Coefficient Std. Error t-ratio p-value

const 481.125 111.416 4.318 <0.0001 ***
LagDemPresident 219.991 164.000 1.341 0.1858

Mean dependent var 582.6596 S.D. dependent var 594.1608

Sum squared resid 17378955 S.E. of regression 589.5584
R-squared 0.034738 Adjusted R-squared 0.015432
F(1, 50) 1.799383 P-value(F) 0.185848
Log-likelihood −404.4925 Akaike criterion 812.9850
Schwarz criterion 816.8875 Hannan-Quinn 814.4811

4) gretl version 2018b

Current session: 2018-09-11 10:23

# This script is a gretl version of the Stata program described in exercise 2, chapter 3 of
Bailey's book.
# Also see listing 12.1 on p. 95 of the User's Guide
? set verbose off

Number of iterations: 50
OLS estimates using the 100 observations 1-100
Statistics for 50 repetitions
Dependent variable: Salary

mean of std. dev. of mean of std. dev. of

estimated estimated estimated estimated
Variable coefficients coefficients std. errors std. errors

const 9741.81 2039.08 2131.54 165.323

Ed 1038.02 218.520 220.047 17.0670

Statistics for 50 repetitions

mean std. dev

tstat 4.73966 1.04444
pvalue_2sided 0.000923623 0.00490319

Null rejected in 100 percent of simulations

Minimum value of tstat = 2.112
Maximum value of tstat = 7.477
Minimum value of pvalue_2sided = 7.586e-014
Maximum value of pvalue_2sided = 0.03468
gretl version 2018b
Current session: 2018-09-11 10:26

# This script is a gretl version of the Stata program described in exercise 2, chapter 3 of
Bailey's book.
# Also see listing 12.1 on p. 95 of the User's Guide
? set verbose off

Number of iterations: 500

OLS estimates using the 100 observations 1-100

Statistics for 500 repetitions
Dependent variable: Salary

mean of std. dev. of mean of std. dev. of

estimated estimated estimated estimated
Variable coefficients coefficients std. errors std. errors

const 9886.71 1860.86 1886.38 130.570

Ed 8.82946 201.509 194.649 13.4731

Statistics for 500 repetitions

mean std. dev

tstat 0.0459935 1.04461
pvalue_2sided 0.976145 0.594910

Null rejected in 7.2 percent of simulations

Minimum value of tstat = -2.734
Maximum value of tstat = 2.577
Minimum value of pvalue_2sided = 0.009958
Maximum value of pvalue_2sided = 1.994
gretl version 2018b
Current session: 2018-09-13 11:07

# This script is a gretl version of the Stata program described in exercise 2, chapter 3 of
Bailey's book.
5) A.
Model 2: OLS, using observations 1-3669
Dependent variable: gwage33

Coefficient Std. Error t-ratio p-value

const −9.34591 5.01799 −1.862 0.0626 *
height33 0.268098 0.0719897 3.724 0.0002 ***

Mean dependent var 9.327049 S.D. dependent var 12.06527

Sum squared resid 531941.5 S.E. of regression 12.04416
R-squared 0.003768 Adjusted R-squared 0.003496
F(1, 3667) 13.86910 P-value(F) 0.000199
Log-likelihood −14335.68 Akaike criterion 28675.37
Schwarz criterion 28687.78 Hannan-Quinn 28679.79

F.
Model 3: OLS, using observations 1-800
Dependent variable: gwage33

Coefficient Std. Error t-ratio p-value

const −56.6775 56.2209 −1.008 0.3137
height33 0.991370 0.811003 1.222 0.2219

Mean dependent var 11.93968 S.D. dependent var 88.78484

Sum squared resid 6286543 S.E. of regression 88.75739
R-squared 0.001869 Adjusted R-squared 0.000618
F(1, 798) 1.494259 P-value(F) 0.221918
Log-likelihood −4722.875 Akaike criterion 9449.750
Schwarz criterion 9459.119 Hannan-Quinn 9453.349