Mathematics, 29.07.2020 18:01, cecelia090
Consider a standard multiple linear regression model with time series data:
yt= βo+ β1xt+ βkxtk + µ1
Assume that Assumptions TS.1, TS.2, TS.3, and TS.4 all hold.
a. Suppose we think that the errors (ut) follow an AR(I) model with parameter rho and so we apply the Prais-Winsten method. If the errors do not follow an AR(I) model— for example, suppose they follow an AR(2) model, or an MA(I) model— why will the usual Prais-Winsten standard errors be incorrect?
b. Can you think of a way to use the Newey-West procedure, in conjunction with Prais- Winsten estimation, to obtain valid standard errors?
c. Explain why your answer to part (ii) should not change if we drop Assumption TS.4.
Answers: 1
Mathematics, 21.06.2019 19:30, indiaseel2744
Suppose i pick a jelly bean at random from a box containing one red and eleven blue ones. i record the color and put the jelly bean back in the box. if i do this three times, what is the probability of getting a blue jelly bean each time? (round your answer to three decimal places.)
Answers: 1
Consider a standard multiple linear regression model with time series data:
yt= βo+ β1xt+ βkxtk + µ...
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