This exercise is based on the following data set. 50 Observations on Y: 1.42 2.75 2.10

Chapter 11, Problem 5

(choose chapter or problem)

This exercise is based on the following data set. 50 Observations on Y: 1.42 2.75 2.10 5.08 1.49 1.00 0.16 1.11 1.66 0.26 4.87 5.94 2.21 6.87 0.90 1.61 2.11 3.82 0.62 7.01 26.14 7.39 0.79 1.93 1.97 23.17 2.52 1.26 0.15 3.41 5.45 1.31 1.52 2.04 3.00 6.31 5.51 15.22 1.47 1.48 6.66 1.78 2.62 5.16 4.71 0.35 0.48 1.24 0.69 1.91 50 Observations on X1: 1.65 1.48 0.77 0.67 0.68 0.23 0.40 1.13 0.15 0.63 0.34 0.35 0.79 0.77 1.04 0.28 0.58 0.41 1.78 1.25 0.22 1.25 0.12 0.66 1.06 0.66 1.18 0.80 1.32 0.16 1.06 0.60 0.79 0.86 2.04 0.51 0.02 0.33 1.99 0.70 0.17 0.33 0.48 1.90 0.18 0.18 1.62 0.39 0.17 1.02 50 Observations on X2: 0.67 0.70 0.32 2.88 0.19 1.28 2.72 0.70 1.55 0.74 1.87 1.56 0.37 2.07 1.20 0.26 1.34 2.10 0.61 2.32 4.38 2.16 1.51 0.30 0.17 7.82 1.15 1.77 2.92 1.94 2.09 1.50 0.46 0.19 0.39 1.54 1.87 3.45 0.88 1.53 1.42 2.70 1.77 1.89 1.85 2.01 1.26 2.02 1.91 2.23 a. Compute the ordinary least squares regression of Y on a constant, X1, and X2. Be sure to compute the conventional estimator of the asymptotic covariance matrix of the OLS estimator as well. b. Compute the White estimator of the appropriate asymptotic covariance matrix for the OLS estimates. c. Test for the presence of heteroscedasticity using Whites general test. Do your results suggest the nature of the heteroscedasticity? d. Use the BreuschPagan Lagrange multiplier test to test for heteroscedasticity. e. Sort the data keying on X1 and use the GoldfeldQuandt test to test for heteroscedasticity. Repeat the procedure, using X2. What do you find?