The model y1 y2 = x1 x2 + 1 2 satisfies the groupwise heteroscedastic regression model

Chapter 13, Problem 9

(choose chapter or problem)

The model y1 y2 = x1 x2 + 1 2 satisfies the groupwise heteroscedastic regression model of Section 11.7.2. All variables have zero means. The following sample second-moment matrix is obtained from a sample of 20 observations: y1 y2 x1 x2 y1 y2 x1 x2 20 6 4 3 6 10 3 6 4 352 3 6 2 10 . a. Compute the two separate OLS estimates of , their sampling variances, the estimates of 2 1 and 2 2 , and the R2s in the two regressions. b. Carry out the Lagrange multiplier test of the hypothesis that 2 1 = 2 2 . c. Compute the two-step FGLS estimate of and an estimate of its sampling variance. Test the hypothesis that equals 1. d. Carry out the Wald test of equal disturbance variances. e. Compute the maximum likelihood estimates of , 2 1 , and 2 2 by iterating the FGLS estimates to convergence. f. Carry out a likelihood ratio test of equal disturbance variances. g. Compute the two-step FGLS estimate of , assuming that the model in (14-7) applies. (That is, allow for cross-sectional correlation.) Compare your results with those of part c.

Unfortunately, we don't have that question answered yet. But you can get it answered in just 5 hours by Logging in or Becoming a subscriber.

Becoming a subscriber
Or look for another answer

×

Login

Login or Sign up for access to all of our study tools and educational content!

Forgot password?
Register Now

×

Register

Sign up for access to all content on our site!

Or login if you already have an account

×

Reset password

If you have an active account we’ll send you an e-mail for password recovery

Or login if you have your password back