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solutions chapter 9.pdf

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Department
ECON
Course
ECON 201
Professor
All Professors
Semester
Fall

Description
CHAPTER9 Exercise Solutions 200 Chapter 9 Exercise Solutions Principles of Econometrics 3e201 EXERCISE 91 From the equation for the AR1 error model eev we have 1ttt2 varvarvar2coveeve v11tttt t from which we get22 220 ee v2221 ev andhence 22v e21we note that Tofind Eee1tt2 eeeev111ttttt Takingexpectations 220EeeEe 11ttteSimilarlyeeeeev21 22tttttt and 22 0EeeEeeEee21 21tttttte Chapter 9 Exercise Solutions Principles of Econometrics 3e202 EXERCISE 92 a Using hand calculations TTeeeetttt120097901008tt23rr0194602007 12TT050320502322eett12tt230H against the alternative 0H is b i The test statistic for testing 0111100194606154ZT r Comparing this value to the critical Z values for a 1two tail test with a 5 level of significanceandwe do 196Z196Z00250975not reject the null hypothesis and conclude that r is not significantly different from 1zeroii The test statistic for testing 0H against the alternative 0H is 0212100200706347ZT r Comparing this value to the critical Z values for a 2two tail test with a 5 level of significanceandwe do 196Z196Z00250975not reject the null hypothesis and conclude that is not significantly different from r2zero
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