计量经济学作业代做 Econometrics代写 EC220代写

Department of Economics January 2021

计量经济学作业代做 Explain the concept of autocorrelation and indicate for the above model whatthe consequence of autocorrelation for our OLS estimator would be.

EC220: Introduction to Econometrics

Lent: Problem Set 7

1.[Wooldridge, Ch 12, Computer Exercise 2] For the US economy, let gprice denote the monthly growth in the overall price level and let gwage be the monthly growth in hourly wages.

[These are both obtained a differences of logarithmns: gprice =Δ log(wage):] We have estimated the following distributed lag model (ADL(0,12)):

The usual standard errors are in parentheses.

(a) We want to test whether the LRP is signiffcantly di§erent from one. Clearly indicating the null and the alternative hypothesis, give the test statistic and the rejection rule. What regression would you run to obtain the standard error of the LRP directly?  计量经济学作业代做

(b) A formal test suggests the presence of autocorrelation. Discuss the consequence of this for the test you conducted in (a) and suggest two ways to deals with this problem highlighting the advantage/disadvantage of each.

2.FEEDBACK QUESTION (25 marks) Let us consider a distributed lag model  计量经济学作业代做

where u_t is independent of x_t, z_t, z_t-1, …, and z_t-q with zero mean and constantvariance. For simplicity, we will assume that there is no autocorrelation in the errors.

(a) Explain the concept of autocorrelation and indicate for the above model whatthe consequence of autocorrelation for our OLS estimator would be.(4 marks)

Let us consider the example of the effects of tax policy on the U.S. fertility rates.Let gfr denote the number of children born per 1.000 women aged 15-44, pe denotesthe real value of the personal tax exemption, and ww2 and pill are dummy variablesWW Il, availability of the birth control pill). Using annual data, the following OLSresults were obtained

The usual standard errors are reported in parentheses.  计量经济学作业代做

(b) A novice in econometrics argues that the result indicates that the e§ect of tax policy on the US fertility rate is ineffective because of the insigniffcance of the distributed lag coeffcients (the coeffcients on pe_t and its lags). Explain why he/she could be wrong. In your answer you may discuss what the short and long run e§ect of the tax policy are according to these results.(5 marks)

(c) Your friend argues that only two lags should have been included. Using the same sample, he obtains the following result

Test for the joint signiffcance of the third and fourth lag. Clearly indicate H₀ and H₁; the test statistic, the rejection rule and interpret your results.(4 marks)

(d) Your result in (c) may be a§ected by the presence of autocorrelation. Discuss how you would test for the presence of autocorrelation in (3.2). Clearly indi-cate H0 and H1; the test statistic, the rejection rule, and its interpretation.(5 marks)

(e) Discuss two approaches to deal with the presence of autocorrelation.(7 marks)

3.Consider the following regression model considered in lecture  计量经济学作业代做

e_t is uncorrelated with y_t-1, y_t-2, …
(a) Discuss the consequences of estimating the parameters with Ordinary Least Squares

(b) Show that you can rewrite the two equations as
Y_t = α₀ + α₁Y_t-1 + α₂Y_t-1 + e_t
and discuss the relation between the α parameters and β₁, β₂ and ρ.

What are the properties of a_j, j = 1,2,3 when estimating our model by OLSc)stationarity and weak dependence is satisfied).

 

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