CourseWork

Not Rated (0)

$15/per page/

About CourseWork

Levels Tought:
Elementary,Middle School,High School,College,University,PHD

Expertise:
Applied Sciences,Chemistry See all
Applied Sciences,Chemistry,Communications,Economics,Engineering,Environmental science Hide all
Teaching Since: Apr 2017
Last Sign in: 271 Weeks Ago, 2 Days Ago
Questions Answered: 352
Tutorials Posted: 351

Education

  • MBA,PHD in Psychology
    Northwest Florida State College
    Jun-1992 - May-1997

Experience

  • Professor
    Northwest Florida State College,
    Aug-2006 - Nov-2015

Category > Economics Posted 05 May 2017 My Price 9.00

Detecting autocorrelation:

Detecting autocorrelation: von Neumann ratio test.† Assuming thatthe residual ˆut are random drawings from normal distribution, vonNeumann has shown that for large n, the ratiod2s2=( ˆui - ˆui-1)2/(n - 1)( ˆui - ¯ˆu)2/nNote: ¯ˆu = 0 in OLScalled the von Neumann ratio, is approximately normally distributedwith meanEd2s2=2nn - 1and variancevard2s2= 4n2 n - 2(n + 1)(n - 1)3a. If n is sufficiently large, how would you use the von Neumann ratio totest for autocorrelation?b. What is the relationship between the Durbin–Watson d and the ratio?Gujarati: BasicEconometrics, FourthEditionII. Relaxing theAssumptions of theClassical Model12. Autocorrelation: WhatHappens if the Error Termsare Correlated?© The McGraw-HillCompanies, 2004c. The d statistic lies between 0 and 4. What are the corresponding limitsfor the von Neumann ratio?d. Since the ratio depends on the assumption that the ˆu’s are random drawingsfrom normal distribution, how valid is this assumption for the OLSresiduals?e. Suppose in an application the ratio was found to be 2.88 with 100 observations.Test the hypothesis that there is no serial correlation in the data.Note: B. I. Hart has tabulated the critical values of the von Neumannratio for sample sizes of up to 60 observations.*12.

Answers

CourseWork
Not Rated (0)
Status NEW Posted 05 May 2017 01:05 PM My Price 9.00

Hel-----------lo -----------Sir-----------/Ma-----------dam-----------Tha-----------nk -----------You----------- fo-----------r u-----------sin-----------g S-----------obt-----------ell----------- an-----------d a-----------cqu-----------isi-----------tio-----------n o-----------f m-----------y p-----------ost-----------ed -----------sol-----------uti-----------on.----------- Pl-----------eas-----------e p-----------ing----------- me----------- on----------- ch-----------at -----------I a-----------m o-----------nli-----------ne -----------or -----------inb-----------ox -----------me -----------a m-----------ess-----------age----------- I -----------wil-----------l b-----------e c-----------atc-----------h

Not Rated(0)