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The following sample moments for x = [1, x1, x2, x3] were computed from 100 observations produced using a random number generator: The true model underlying these data is y = x1 + x2 + x3 + ε.
a. Compute the simple correlations among the regressors.
b. Compute the ordinary least squares coefficients in the regression of y on a constant x1, x2, and x3.
c. Compute the ordinary least squares coefficients in the regression of y on a constant x1 and x2, on a constant x1 and x3, and on a constant x2 and x3.
d. Compute the variance inflation factor associated with each variable.
e. The regressors are obviously collinear. Which is the problem variable? |
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