Introductory Econometrics 4th Edition by Jeffrey Wooldridge

تمرين 8

Use the data in PHILLIPS.RAW to answer these questions.
(i) Using the entire data set, estimate the static Phillips curve equation inf 1 = 0 + 1 unem t + u t by OLS and report the results in the usual form.
(ii) Obtain the OLS residuals from part (i), û t , and obtain p from the regression û t on û t-1. (It is fine to include an intercept in this regression.) Is there strong evidence of serial correlation
(iii) Now estimate the static Phillips curve model by iterative Prais-Winsten. Compare the estimate of 1 with that obtained in Table 12.2. Is there much difference in the estimate when the later years are added
(iv) Rather than using Prais-Winsten, use iterative Cochrane-Orcutt. How similar are the final estimates of p How similar are the PW and CO estimates of 1
Dependent Variable: inf