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Introductory Econometrics: A Modern Approach 6th Edition by Jeffrey M Wooldridge
Edition 6ISBN: 130527010XIntroductory Econometrics: A Modern Approach 6th Edition by Jeffrey M Wooldridge
Edition 6ISBN: 130527010XUse the data in FERTIL3.RAW for this exercise.
(i) Add pet-3 and pet-4 to equation (10.19). Test for joint significance of these lags.
(ii) Find the estimated long-run propensity and its standard error in the model from part (i). Compare these with those obtained from equation (10.19).
(iii) Estimate the polynomial distributed lag model from Problem 10.6. Find the estimated LRP and compare this with what is obtained from the unrestricted model.
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Step 1 of 4
(i)
On adding 
and
, the regression equation is:
The result is:
The regression equation is:
Test for the joint significance of the lagged variables 
and
using Wald test
and
are not jointly significant
and
are jointly significant
Since, the p-value of the F-statistic is 0.9397 which is greater than the critical p-value of 0.05 at 5% level of significance, it is concluded that 
and
are not jointly significant
Step 2 of 4
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Step 4 of 4
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