|
For the Phillips curve regression Equation (5.29) given in Chapter 5, the estimated d statistic would be 0.6394.
a. Is there evidence of first-order autocorrelation in the residuals? If so, is it positive or negative?
b. If there is autocorrelation, estimate the coefficient of autocorrelation from the d statistic.
c. Using this estimate, transform the data given in Table 5-6 and estimate the generalized difference equation (10.15) (i.e., apply OLS to the transformed data).
d. Is there autocorrelation in the regression estimated in part (c)? Which test do you use? |
| New search. (Also 1294 free access solutions) |