Durbin_Watson – The Durbin-Watson test statistic tests the null hypothesis that the residuals from an

HW10:
Due: 11/25/2015

 1) Use the data in Data 4-3 and
generate the following variables:
lph = log (housing/population)
lpcgnp = log (gnp/population)
lr = log (intrate)
Estimate the model below using OLS:

lph
= ? + ?1 lpcgnp + ?2 lr + ?t

a)
Use your regression results to calculate the
residuals. (print the regression results but no need to print out your data).

b)
Take a lag of the residuals.

c)
Check for first order auto – correlation with
the residuals. Use the Durbin Watson test. Does the test show serial
correlation? Explain.

2) Use
the data in7-20 andrun the
regression below in Gretl. Make sure you open the data
as a time-series. (I know this is a cross section, but as stated in class,
there might be serial correlation based on how the data was organized.)
salary= ? + ?1height+
?2weight+ ?3points +?
a)
Run the regression and print out the regression result and include a
copy on the homework. Check the
Durbin-Watson statistic. Do you have
serial correlation? Which kind?
b)
Run a White’s test to
check for heteroskedasticity. Based on
the White’s Test, does your model have heteroskedasticity? Explain
c) Print
out a copy of the White’s test and the Durbin Watson test result and attach it
in your homework.

 

 

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