d Table 2.3: ANOVA table for regression of residuals ANOVA Sum of Model Squares df Mean Square F Sig. 1 Regression .812 ? ? ?? ?? .017 Residual 17.113 ?? ? ? Total 17.925 177 a. Dependent variable: e? b. Predictors: (Constant), e?_1, er-2 Table 2.3 shows the ANOVA table of regressions of the residual squares (ey) of Model 2 on its first and second lagged values (et_] andet-2). et = TO+ 71 . et-1 + 12 - et_2 + wt. Perform the ANOVA test to test the joint significance of the parameters in this regression. (i) (3pts) Calculate the R-Squared value for this regression. (ii) (2pts) State Ho and Ha for the ANOVA test. (iii) (3pts) State the distribution of the relevant test statistic and its degrees of freedom. Hint: What is the number of observations used here? (iv) (3pts) Compute the value of this test statistic. (v) (2pts) Draw your conclusion based on the reported P-value. (vi) (3pts) Discuss the relevance of your conclusion for the results obtained previously in parts (b) and (c) on breaks and on Granger causality. (Use significance level a = 0.05.)