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Introduction to Econometrics 3rd Edition by James Stock, Mark Watson
Edition 3ISBN: 978-9352863501Introduction to Econometrics 3rd Edition by James Stock, Mark Watson
Edition 3ISBN: 978-9352863501 Exercise 5
Using the same data as in Exercise 14.2, a researcher tests for a stochastic trend in In (IP t ) using the following regression:
where the standard errors shown in parentheses are computed using the homoskedasticity-only formula and the regressor "t" is a linear time trend.
a. Use the ADF statistic to test for a stochastic trend (unit root) in In (IP).
b. Do these results support the specification used in Exercise 14.2 Explain.
where the standard errors shown in parentheses are computed using the homoskedasticity-only formula and the regressor "t" is a linear time trend.
a. Use the ADF statistic to test for a stochastic trend (unit root) in In (IP).
b. Do these results support the specification used in Exercise 14.2 Explain.
Explanation
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a.
To test for a stochastic trend (unit...
Introduction to Econometrics 3rd Edition by James Stock, Mark Watson
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