Answered step by step
Verified Expert Solution
Question
1 Approved Answer
Problem #5: An econometrician regresses gross private investment (gpi) on gross private savings (gps). From the output below interpret statistics in bold. Also interpret the
Problem #5: An econometrician regresses gross private investment (gpi) on gross private savings (gps). From the output below interpret statistics in bold. Also interpret the tests given under residual analysis, p-values are given in brackets. Are the residuals i.i.d? The estimation sample is: 1959 - 2007 Coefficient Std.Error t-value t-prob Constant -78.7210 27.48 -2.86 0.0062 gps 1.10740 0.02908 38.1 0.0000 Sigma 114.868; RSS 620149.806; R^2 0.968607 ; F(1,47) = 1450 [0.000] Adj.R^2 0.96794; AIC 12.3654; se(gpi) 641.526 = Residual Analysis i. AR test: F(2,45) 57.419 [0.0000] ii. JB test: Chi^2(2) 13.81 [0.0010] iii. Hetero test: F(2,46) 5.4854 [0.0073] iv. Hetero-X test: F(2,46) 5.4854 [0.007] V. RESET test: F(2,45) 12.037 [0.0001] (HO: no specification biased) vi. DURBIN-WATSON STATISTIC: d= 0.3729 = = = Scaled Residuals 0 100 200 300 400 500 600 700 800 900 1000 1100 1200 Problem #5: An econometrician regresses gross private investment (gpi) on gross private savings (gps). From the output below interpret statistics in bold. Also interpret the tests given under residual analysis, p-values are given in brackets. Are the residuals i.i.d? The estimation sample is: 1959 - 2007 Coefficient Std.Error t-value t-prob Constant -78.7210 27.48 -2.86 0.0062 gps 1.10740 0.02908 38.1 0.0000 Sigma 114.868; RSS 620149.806; R^2 0.968607 ; F(1,47) = 1450 [0.000] Adj.R^2 0.96794; AIC 12.3654; se(gpi) 641.526 = Residual Analysis i. AR test: F(2,45) 57.419 [0.0000] ii. JB test: Chi^2(2) 13.81 [0.0010] iii. Hetero test: F(2,46) 5.4854 [0.0073] iv. Hetero-X test: F(2,46) 5.4854 [0.007] V. RESET test: F(2,45) 12.037 [0.0001] (HO: no specification biased) vi. DURBIN-WATSON STATISTIC: d= 0.3729 = = = Scaled Residuals 0 100 200 300 400 500 600 700 800 900 1000 1100 1200
Step by Step Solution
There are 3 Steps involved in it
Step: 1
Get Instant Access to Expert-Tailored Solutions
See step-by-step solutions with expert insights and AI powered tools for academic success
Step: 2
Step: 3
Ace Your Homework with AI
Get the answers you need in no time with our AI-driven, step-by-step assistance
Get Started