\
|
Profits
D & R
= -22.0242
i
|
.
|
\
|
Profits
1
+ 0.3735
i
) Profits (
e)
2
2
2
1 0
: o o = H
2
2
2
1 1
: o o = H
Test statistic:
( )
( )
31 . 11
2 6 / 93 . 438
2 6 / 97 . 4965
/
/
1 1
2 2
=
=
k n SSE
k n SSE
GQ
Critical value: 39 . 6
4 , 4 , 05 . 0
= F
3
Decision: 39 . 6 31 . 11
4 , 4 , 05 . 0
= > = F GQ , reject the null hypothesis. Regression
suffers from the heteroscedasticity problem. However, we managed to lessen
the heteroscedasticity problem which can be seen in the reduction of test
statistic from 89.94 to 11.31.
3. a)
Dependent Variable: LOG(RDEXP)
Method: Least Squares
Sample: 1 18
Included observations: 18
Variable Coefficient Std. Error t-Statistic Prob.
C -1.255122 1.364763 -0.919663 0.3714
LOG(PROFITS) 0.990958 0.159722 6.204265 0.0000
b) Auxiliary regression:
( ) ( )
t i
w e + + + =
2
2 1 0
2
profits ln profits ln o o o
0 :
2 1 0
= = o o H
:
1
H At least one 0 =
i
o
Test statistic: ( ) 7801 . 0 043339 . 0 18
2
= = nR
Critical value: 99 . 5
2
2 , 05 . 0
= _
Decision: 99 . 5 7801 . 0
2
2 , 05 . 0
2
= < = _ nR , do not reject the null hypothesis.
Regression doesnt suffer from the heteroscedasticity problem.
4.
Dependent Variable: CONSUMPTION
Method: Least Squares
Sample: 1 30
Included observations: 30
Variable Coefficient Std. Error t-Statistic Prob.
C 16222.97 5436.061 2.984324 0.0060
INCOME 0.641166 0.166878 3.842131 0.0007
WEALTH 0.148788 0.041327 3.600281 0.0013
Auxiliary regression:
( ) ( ) ( ) ( )
( )
t
i
w
e
+ +
+ + + + =
wealth * income
wealth income wealth income
5
2
4
2
3 2 1 0
2
o
o o o o o
4
0 :
5 4 3 2 1 0
= = = = = o o o o o H
:
1
H At least one 0 =
i
o
Test statistic: ( ) 8190 . 2 093967 . 0 30
2
= = nR
Critical value: 07 . 11
2
5 , 05 . 0
= _
Decision: 07 . 11 8190 . 2
2
5 , 05 . 0
2
= < = _ nR , do not reject the null hypothesis.
Regression doesnt suffer from the heteroscedasticity problem.