Intro. Econometrics Assignment

[Auran]

One tailed, with and

I used one tailed with [/tex]H_1 : \beta_1 > 0[/tex] instead. Wasn't we suppose to find whether it increases growth, which we would test for by if [\tex]\beta_1 > 0[/tex]? Or I do it wrong?

[kinslayer]

For the openness hypothesis it would be >0 (more open countries grow faster) but the convergence hypothesis is about whether or not richer countries grow slower, so it would be <0 (richer countries grow more slowly).

[Auran]

the convergence hypothesis is about whether or not richer countries grow slower, so it would be <0 (richer countries grow more slowly).

Okay I understand now. In that case doesn't it change according to the assumption? <0 for rich countries, >0 for both full sample and poorer countries (since full sample also contains poorer countries and that poorer countries grow more quickly). Or is it just <0 for all?

[Sam_95]

For the prediction interval you respecify the regression to give the prediction as the constant, then use the standard error and two-sided critical value to get the prediction interval. It's the same thing as we did in tutorial 5,6 etc. I think it's in the lecture notes as well.

Hang on, I'm talking about the first part of Q5a. I'm guessing you'd have to put in the values of 'Australia's statistic's' that are given into a regression and find the average growth. But which regression from Q4. do you put the values into? It's asking 'Using the appropriate regression from question 4' I'm guessing the richer countries reg?

What t-statistics did you guys get for the gdp2000 variable?

I found that it wasn't significant for the poorer countries, but it was significant in the full sample and for richer countries. I think I was supposed to find the opposite :S (convergence holds for poorer countries but not rich).

Yeah, I got that too

[kinslayer]

Hang on, I'm talking about the first part of Q5a. I'm guessing you'd have to put in the values of 'Australia's statistic's' that are given into a regression and find the average growth. But which regression from Q4. do you put the values into? It's asking 'Using the appropriate regression from question 4' I'm guessing the richer countries reg?

Oh yeah, you use the one with the gdp2000>5 filter

[Sam_95]

Awesome, thank man, just needed to clear that up

[UBS]

for 5a did you guys just do estimate Equation:

Growth
C
GDP2000-34.07196
OPEN-0.412005
CONS-0.648852
GOVT-0.061441
INVEST-0.297386

then 95% Prediction interval = [C – 1.987*std. error of C, C+ 1.987*std. error of C]
                                       
and for 5b) just change OPEN-0.312005 leave everything else the same?

Q5c) got me confused. I know you're meant to find the difference between the 2 regressions in a & b ...but

[kinslayer]

In part 5c) the point estimate is just the difference between the two means you calculated in part 5b). You need a standard error to calculate a confidence interval. You can get that by multiplying OPEN by 10 in the regression

[UBS]

Isn't 'The difference between the two estimated conditional means in (a) and (b)' just the average of the Prediction interval in (a) minus the average of the Prediction interval in (b)? That's what I remember from the tute.

You need a standard error to calculate a confidence interval. You can get that by multiplying OPEN by 10 in the regression

So would that be growth c 10(gdp2000-34.07196) open-0.312005 cons-0.648852 govt-0.061441 invest-0.297386;
with the standard error being the number in the Std. Error column & Open row?

Farrr out, soooo confused with the last one 

[kinslayer]

The 10 needs to go in front of OPEN. If you re-interpret the new coefficient it should make more sense. You know you have the right regression if the point estimate agrees with the difference you calculated manually.

[UBS]

Got it, you're a legend kinslayer, thankyou.

[twatter]

In Assignment 2, for Q1c. it's asking to estimate a single regression, which I think is :

ex_ret c sp100 sp200 sp300 small reit

But when I try to estimate it, I get the error 'Near singular matrix error. Regressors may be perfectly colinnear.'

What am I doing wrong?

[kinslayer]

In Assignment 2, for Q1c. it's asking to estimate a single regression, which I think is :

ex_ret c sp100 sp200 sp300 small reit

But when I try to estimate it, I get the error 'Near singular matrix error. Regressors may be perfectly colinnear.'

What am I doing wrong?

lecturer said leave out sp100

there's linear dependence b/w the dummy variables if you leave it in

[twatter]

ohh yup, makes sense.

But if you drop sp100, how do you find out the mean excess return for sp100?

[kinslayer]

ohh yup, makes sense.

But if you drop sp100, how do you find out the mean excess return for sp100?

Sorry, I haven't actually started the assignment yet. For Q1c you do use sp100, just take out the intercept so that each of the coefficients represents the mean.

Later in the assignment there are regressions where you need constant term in there. You leave out sp100 for those ones.