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Introductory Econometrics 4th Edition by Jeffrey Wooldridge
Edition 4ISBN: 978-0324660609Introductory Econometrics 4th Edition by Jeffrey Wooldridge
Edition 4ISBN: 978-0324660609 Exercise 19
Use NYSE.RAW to estimate equation. Let t. be the fitted values from this equation (the estimates of the conditional variance). How many t are negative
(ii) Add return1 1 to (12.48) and again compute the fitted values, t. Are any t t negative
(iii) Use the t from part (ii) to estimate (12.47) by weighted least squares (as in Section 8.4). Compare your estimate of t with that in equation. Test H 0 : t = 0 and compare the outcome when OLS is used.
(iv) Now, estimate (12.47) by WLS, using the estimated ARCH model in (12.51) to obtain the t. Does this change your findings from part (iii)
(ii) Add return1 1 to (12.48) and again compute the fitted values, t. Are any t t negative
(iii) Use the t from part (ii) to estimate (12.47) by weighted least squares (as in Section 8.4). Compare your estimate of t with that in equation. Test H 0 : t = 0 and compare the outcome when OLS is used.
(iv) Now, estimate (12.47) by WLS, using the estimated ARCH model in (12.51) to obtain the t. Does this change your findings from part (iii)
Explanation
Verified
Verified
i)
After obtaining the residuals 
from e...
Introductory Econometrics 4th Edition by Jeffrey Wooldridge
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