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    MATT115B MockTest Final K58

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    Vịt Hoàng
    This document provides instructions for an open-book exam asking students to analyze US defense budget data from 1962 to 1981 using regression analysis. It includes the variables to use in the model, the output of the regression analysis, and 6 questions assessing students' understanding of interpreting regression results, testing assumptions, and conducting hypothesis tests related to the model. Students are asked to explain coefficients, test significance, check for autocorrelation, conduct hypothesis tests involving the coefficients, and test for problems like heteroskedasticity.

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    MATT115B MockTest Final K58

    Uploaded by

    Vịt Hoàng
    87 views2 pages
    This document provides instructions for an open-book exam asking students to analyze US defense budget data from 1962 to 1981 using regression analysis. It includes the variables to use in the model, the output of the regression analysis, and 6 questions assessing students' understanding of interpreting regression results, testing assumptions, and conducting hypothesis tests related to the model. Students are asked to explain coefficients, test significance, check for autocorrelation, conduct hypothesis tests involving the coefficients, and test for problems like heteroskedasticity.

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    This document provides instructions for an open-book exam asking students to analyze US defense budget data from 1962 to 1981 using regression analysis. It includes the variables to use in the model, the output of the regression analysis, and 6 questions assessing students' understanding of interpreting regression results, testing assumptions, and conducting hypothesis tests related to the model. Students are asked to explain coefficients, test significance, check for autocorrelation, conduct hypothesis tests involving the coefficients, and test for problems like heteroskedasticity.

    Copyright:

    © All Rights Reserved
    Download as DOC, PDF, TXT or read online from Scribd
    Download as doc, pdf, or txt
    87 views2 pages

    MATT115B MockTest Final K58

    Uploaded by

    Vịt Hoàng
    This document provides instructions for an open-book exam asking students to analyze US defense budget data from 1962 to 1981 using regression analysis. It includes the variables to use in the model, the output of the regression analysis, and 6 questions assessing students' understanding of interpreting regression results, testing assumptions, and conducting hypothesis tests related to the model. Students are asked to explain coefficients, test significance, check for autocorrelation, conduct hypothesis tests involving the coefficients, and test for problems like heteroskedasticity.

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    INSTRUCTIONS: - This is the open-book exam, all materials can be used in the room except laptop

    - Time allowed: 90 minutes.


    - Mark for each question is given next to the question’s number.

    In order to explain the US defense budget, you are using the data from 1962 to 1981 with the following
    variables (all measured in billions USD) and estimate the corresponding model (Model 1):(Use α=0.05 for
    references)

    Yt: Defense budget outlay for year t


    X2t: GNP for year t
    X3t: US military sales in year t
    X4t: Aerospace industry sales in year t
    D1t: Dummy variable presenting the military conflict involving more than 100,000 troops; D1 t=1 if more
    than 100,000 troops are involved and equal to 0 if fewer than 100,000 troops are involved.

    Dependent Variable: Y Sample: 1962 1981


    Method: Least Squares Included observations: 20
    Variable Coefficient Std. Error t-Statistic Prob.
    C 21.40251 1.496947 14.29744 0.0000
    D1 -48.21987 6.871544 -7.017328 0.0000
    X2 0.013879 0.003207 4.328062 0.0008
    X3 0.073146 0.203805 0.358902 0.7254
    X4 1.389753 0.130197 10.67423 0.0000
    X4*D1 1.540792 0.325005 4.740818 0.0004
    X2*D1 0.022406 0.005781 3.876038 0.0019
    R-squared 0.996366 Mean dependent var 83.86000
    Adjusted R-squared 0.994688 S.D. dependent var 28.97771
    S.E. of regression 2.111972 Akaike info criterion 4.602338
    Sum squared resid 57.98554 Schwarz criterion 4.950845
    Log likelihood -39.02338 F-statistic 593.9815
    Durbin-Watson stat 2.233771 Prob(F-statistic) 0.000000

    1. [10]Explain the meaning of each estimated coefficient and R2 in the above model.
    2. [10]Test for significance of each independent variable and test for overall significance of the model.
    3. [15]Conduct the test of autocorrelation in the model using the information above. State clearly the
    conditions to apply this test? If those conditions are not met, name other tests you can use instead.
    4. [10]When GNP increases by 1 bil USD (other variables unchanged), what is the confidence interval
    of the difference in the changing levels of defense budget between the cases of there are more than
    100,000 or fewer than 100,000 troops involved in the military conflict?
    5. [20]For the case when there are fewer than 100,000 troops involving in the conflict (this condition
    indicates that we are concerning on the coefficients of X2 and X4 only), if we simultaneously
    increase X2 and X4 by 1 billions USD, test the proposition that the defense budget will increase 1.4
    billions USD. What is the confidence interval for the increase in the level of defense budget in this
    case? (The covariance between two estimated coefficients of 2 variables X2 and X4 is -0.00036).
    6. [15]Do you think that the military budget does not depend on the number of troops involving in the
    conflict given that if you regress Y on X2, X3 and X4 (with intercept), you get R 2=0.971 and
    RSS=461.28?
    7. [20]Given the information below, test for all possible problems in the model 1 above. In each test
    specify clearly type of test, type of problem, the statistic used, null and alternative hypothesis and
    conclusion about the problem.
    Result (1)
    7
    Series: Residuals
    6 Sample 1962 1981
    Observations 20
    5
    Mean -1.13E-14
    4 Median 0.140813
    Maximum 2.855637
    3 Minimum -3.215228
    Std. Dev. 1.746960
    Skewness -0.218699
    2
    Kurtosis 2.211793
    1
    Jarque-Bera 0.677155
    Probability 0.712783
    0
    -4 -3 -2 -1 0 1 2 3

    Result (2)

    White Heteroskedasticity Test: (No cross term)


    F-statistic 2.379399 Probability 0.114212
    Obs*R-squared 15.31799 Probability 0.168397

    Result (3)

    Breusch-Godfrey Serial Correlation LM Test: AR(2)


    F-statistic 1.950537 Probability 0.188349
    Obs*R-squared 5.235963 Probability 0.072950
    Result (4)

    Ramsey RESET Test:


    F-statistic 2.110154 Probability 0.119102
    Log likelihood ratio 7.432899 Probability 0.059308

    GOOD LUCK!

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