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( Computer Simulation Programming ) This question asks you to conduct a simulation experiment to examine the finite - sample distributions of t ratios using
Computer Simulation Programming
This question asks you to conduct a simulation experiment to examine the finitesample distributions of ratios using the standard errors based on widehatclassical t ratios and widehatWhite t ratios under homoskedasticity and heteroskedasticity.
Take the data generating process:
dots,
where inR and Consider two specifications for : and Lognormal Consider homoskedastic errors with and heteroskedastic errors with
The testing task is : against : Construct the classical and White t ratios for and calculate the finitesample size of the twosided tests based on nominal critical values. Set the sample sizes and the number of simulation replications
a Fill in the rejection rates of the ratios in Table below.
Table : Rejection rates of the classical and White ratios using nominal critical values
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