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Tutorial 2-Econometrics

This document contains 5 exercises related to econometrics concepts like regression analysis, hypothesis testing, and confidence intervals. Exercise 1 involves computing covariance, variance, least squares estimates, residuals, and R-squared from sample data. Exercise 2 estimates parameters from a linear model, the variance of disturbances, variance of beta, and constructs a confidence interval. Exercise 3 performs a regression on tractor maintenance costs and age, calculating estimates, testing hypotheses, and a prediction interval. Exercise 4 examines housing rents and student populations, significance testing, and forecast intervals. Exercise 5 interprets results from a regression of sales on a youtube advertising budget.

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eya Khamassi
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68 views4 pages

Tutorial 2-Econometrics

This document contains 5 exercises related to econometrics concepts like regression analysis, hypothesis testing, and confidence intervals. Exercise 1 involves computing covariance, variance, least squares estimates, residuals, and R-squared from sample data. Exercise 2 estimates parameters from a linear model, the variance of disturbances, variance of beta, and constructs a confidence interval. Exercise 3 performs a regression on tractor maintenance costs and age, calculating estimates, testing hypotheses, and a prediction interval. Exercise 4 examines housing rents and student populations, significance testing, and forecast intervals. Exercise 5 interprets results from a regression of sales on a youtube advertising budget.

Uploaded by

eya Khamassi
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
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Download as PDF, TXT or read online on Scribd
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University of Tunis 2022-2023 Tunis Business School Fall session

Econometrics

Tutorial 2

Exercise 1

Consider the following data


Indvidual 1 2 3 4 5

X=Years of Education (in years) 1 1 1 1 1


1 4 2 6 2

Y=Job Tenure (in years) 1 6 8 1 5


0

1) FindCov X Y ( , ) .

2) Compute Var X( ).

3) Calculate the least squares estimate of the constant,β1and the slope coefficient,β2 from a
regression of YionXi. Y X e i i i = + + β β 1 2. Interpret the equation. 4) Compute the
residuals for each observation.
5) Find the 2 Rfrom this regression.

Exercise 2

Consider the following regression model:

Y X e iii= + + β β 12

From a sample of 20 observations, the following results were obtained:

∑ ∑ ∑ ∑ ∑ −−=−=−===
22
20 20 20 20 20 X X Y Y X X Y Y X and Y
40 ; 50 ; 120, 500 3500 i i i i i i
( )( ) ( ) ( )
iiiii=====11111

1) Estimate the parameters of the linear model and interpret the results.
2) Estimate the variance of the disturbance term2 σ .
ˆ
3) Estimate the variance of2 β .
4) Calculate2 R. Interpret the result.
5) Construct a 95% confidence interval for the slope.

1
Exercise 3

To investigate how vary the maintenance costs of a tractor (y) (expressed in dinars) with its
age (x) (expressed in months), we have collected the following data:

y 48 43 770 89 50 40 56 62 1000 47 71 58 1020 35 60


i
0 0 0 0 0 0 0 0 0 0 0 0

x 15 8 36 4 16 8 2 2 53 10 3 17 58 6 2
i
1 1 1 2 0

To lighten the calculations, we give the following informations:

362 i ∑x =; 9380 i ∑ y =; ( )23753.73 i ∑ x x − =; ( )2626973.33 i ∑ y y − =

( )( ) 47999.33 i i ∑ x x y y − − =

We assume the following regression equation:

iii12 yxe=++ββ

1) Calculate:
ˆ
a) The least squares estimators 1 βand 2 βˆ. Give the interpretation.

b) The coefficient of determination2 R. Give the interpretation.


c) The estimate of the standard error of the regressionσˆ .
d) The estimate of the standard error of the slope.
2) Test the hypothesis0 2 H : 0 β =against 1 2 H : 0 β ≠at 5% level
3) The maintenance direction uses2 β =15. Does the new result confirm this value at 5% level?
In the case where this value will be invalidated, what new value could be chosen? 4) How do
you test the hypothesis: The maintenance cost is an increasing function of the tractor’s age?
5) Give a prediction interval at 95% for the maintenance cost corresponding to a 4 years
tractor.
Exercise 4

1) You are interested in the hypothesis of whether housing rents are influenced by the
proportion of students in the local population.
An OLS regression of rent on proportion of students produced the following estimates.
2
Re 50 100.8 Pr . 29 ; 0.250
nt op Student n R = + × = =
(0.25) (50.4)
2
(Where rent is measured in TND a week and standard errors are given in brackets)
a) Interpret the estimated coefficients.
b) Is the variable proportion of students significant at 10% level.
2) Given the following regression model:

iii12 Inflation Interest Rate e = + + β β

Where inflation and the interest rate are measured in percentage points and 2 (0, ) ie N σ .

We consider the following informations:


Var Inflation Var Interest Rate
( ) 100 ; ( ) 50
==
Cov Inflation Interest Rate
( , ) 25
=−
n RSS X β
====
ˆ
100 ; 49 ; 0.1 and 0.17
1

a) Find the OLS estimate of the effect of interest rates on inflation and the estimated
standard error.
b) The monetary authority decides that2 β = −0.3. Show if this decision is good at 5%
level.
c) Give a forecast confidence interval at 5% level for inflation if interest rate at the period
101 is equal to 9%.

Exercise 5

To study the impact of youtube advertising budget on sales, consider the regression model
sales youtube e = + + β β . The model estimation results are given below.
01t
Interpret the results.

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