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Dependent Variable: INF Method: Least Squares Date: 10/11/21 Time: 14:29 Sample (adjusted): 1901 2015 Included observations: 115 after adjustments Variable Coefficient Std. Error t-Statistic Prob
Dependent Variable: INF Method: Least Squares Date: 10/11/21 Time: 14:29 Sample (adjusted): 1901 2015 Included observations: 115 after adjustments Variable Coefficient Std. Error t-Statistic Prob C 1.411673 0.547321 2.579242 0.0112 LAG 1INF 0.607500 0.074748 8.127325 0.0000 R-squared 0.368903 Mean dependent var 3.623629 Adjusted R-squared 0.363318 S.D. dependent var 6.381890 S.E. of regression 5.092259 Akaike info criterion 6.110558 Sum squared resid 2930.214 Schwarz criterion 6. 158296 Log likelihood -349.3571 Hannan-Quinn criter. 6. 129935 F-statistic 66.05341 Durbin-Watson stat 1.942094 Prob(F-statistic) 0.000000 i) Estimate the linear regression equation inft = Bo + Blinfi-1 + ut. (2) Report the estimated equation in equation form in the main body of your assignment. Report the estimated coefficients and standard errors to three decimal places. Place the Eviews output in Appendix 2(b). (2 marks) ii) Conduct some informal analysis to determine whether or not there is any evidence of autocorrelation in the error term in (2). (2 marks) iii Let Ut = Plut-1 + Put-2 + et. (3) Perform a Breusch-Godfrey test of the null hypothesis that there is no first-order or second-order autocorrelation in the error term in (2). State the null and alternative hypotheses, the form and distribution of the test statistic under the null, the sample value and critical value of the test statistic, your decision rule and your conclusion. (Use the R2 form of the test)
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