Transcription of solutions chapter 9 - Universitetet i Oslo
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solutions chapter 9 - Universitetet i Oslo
200 chapter 9 Exercise solutions chapter 9, Exercise solutions , Principles of Econometrics, 3e 201 EXERCISE From the equation for the AR(1) error model 1ttteev = +, we have ()( )()()211varvarvar2 cov,ttt tteev ev = ++ from which we get 22220eev = + + ()2221ev = and hence 2221ve = To find ()1ttEee we note that 2111ttttteeee v = + Taking expectations, ()()22110ttteEeeEe = + = Similarly, 2122ttt ttteee ee v = + and ()( )()2221210ttt ttteEeeEe eEee = + = = chapter 9, Exercise solutions , Principles of Econometrics, 3e 202 EXERCISE (a) Using hand calculations 121212 TtttTtteere = ==== , 232223 TtttTtteere = ==== (b) (i) The test statistic for t
Chapter 9, Exercise Solutions, Principles of Econometrics, 3e 203 EXERCISE 9.3 (a) Equation (9.49) can be used to conduct two Lagrange multiplier tests for AR(1) errors. The first test is to test whether the coefficient for ˆ 1 et− is significantly different from zero. The null hypothesis is H0:0.ρ= The value of the test statistic is 0.428
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