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March 29, 2005
HW
Due Tuesday 4/5: Chapter 12, #1-7.
Due Thursday 3/31: the following exercise that can be based largely on the do file mc2-rho.do
.
Consider 3 models:
1) y = a + b*x + e
2) y = a + b*x + u
3) y = a + b*x + c*y[-1] + e,
where u = rho*u[-1] + e and e is an i.i.d. normally distributed error term. You could estimate four models:
A) y = a + b*x + e (ignore possible serial correlation)
B) y = a + b*x + u (Cochrane-Orcutt, estimate rho)
C) y = a + b*x + c*y[-1] + e
D) y = a + c*y[-1] + e.
For all combinations of data generating processes (1, 2, 3) and estimated models (A, B,C, D), run simulations sufficient to understand the properties of the estimated models given each DGP. Make a table of some sort to illustrate your results (including dwstat).
For serious students: How do your results depend on the values of rho and a, b, and c?
Posted by bparke at March 29, 2005 10:53 AM