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    This assignment is based on the data set in "charity.dta" to examine what influence individuals' decisions on donations. The linear regression model respond = b0 + b1 resplast + b2 avggift + b3 propresp + b4 mailsyear +u is used. For hypothesis-testing questions, please always present hypotheses, test statistic and its distribution under the null, decision rule and conclusion.

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    This assignment is based on the data set in "charity.dta" to examine what influence individuals' decisions on donations. The linear regression model respond = b0 + b1 resplast + b2 avggift + b3 propresp + b4 mailsyear +u is used. For hypothesis-testing questions, please always present hypotheses, test statistic and its distribution under the null, decision rule and conclusion.

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    Attribution Non-Commercial (BY-NC)
    Download as PDF, TXT or read online from Scribd
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    247 views2 pages

    Assignment 2

    Uploaded by

    405953308
    This assignment is based on the data set in "charity.dta" to examine what influence individuals' decisions on donations. The linear regression model respond = b0 + b1 resplast + b2 avggift + b3 propresp + b4 mailsyear +u is used. For hypothesis-testing questions, please always present hypotheses, test statistic and its distribution under the null, decision rule and conclusion.

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    Assignment2 DueWeek12 (EachofParts(a)(j)isworth1mark.

    )
    ThisassignmentisbasedonthedatasetinCHARITY.DTA,seealsotutorialexercisesC2.7and C7.14.ThedefinitionsofvariablesareinthefileCHARITY.DES.Toexaminewhatinfluence individualsdecisionsondonations,thelinearregressionmodel respond=0+1resplast+2avggift+3propresp+4mailsyear+u

    isused.Forhypothesistestingquestions,pleasealwayspresenthypotheses,teststatisticandits distributionunderthenull,decisionruleandconclusion. a) SupposethatMLR.14holdforthemodelwhenallvariablesarecorrectlymeasured. Furthersupposethatrespondismeasuredwitherror:respond=respond*+e(i.e., observed=truth+error).WouldtheOLSestimatorsof sstillbeunbiasedand b) consistentandwhy? SupposethatMLR.14holdforthemodelwhenallvariablesarecorrectlymeasured. Furthersupposethatoneregressor,mailsyear,ismeasuredwithanadditiveerrorand theerrorisuncorrelatedwiththetruthmailsyear*.HowwouldtheOLSestimatorof,say, 1beaffectedbythemeasurementerrorandwhy? Estimatethemodel,usingOLS,andinterprettheestimateof4.Findhet.robust standarderrorsandcomparethesewiththeusualOLSstandarderrors. Testforthepresenceofheteroskedasticity,usingtheBreuschPagan(BP)LMtest. SupposethatMLR.14holdforthemodel.FindtheexpressionforVar(u|allregressors). Givenyouranswertof),howwouldyouuseweightedleastsquares(WLS)toestimate themodel?WhatwouldbetheweightsfortheWLS?Practically,whatmaypreventyou fromimplementingtheWLS? Reestimatethemodel,usingFGLSwiththetextbookequation(8.32).Comparethe estimateswiththoseind). Testforpossiblemodelmisspecifications,usingtheRESET.Whatdoesyourconclusion suggest? AnalternativewaytotestforheteroskedasticityistousetheoverallFstatisticfroma regressionofthesquaredresidualsonalltheregressorsandthesquaredfittedvaluesof respond.WhatarethedegreesoffreedomofthisproposedFtestforheteroskedasticity? ExplainwhytheRsquaredfromtheregressiondescribedin(k)willalwaysbeatleast aslargeastheRsquaredfromtheBPregression.

    c) d) e) f)

    g) h) i)

    j)

    NotesonAssignment2
    Youranswerstotheabovequestionsmustbesubmittedtoyourtutorat(orbefore)thebeginning ofyourWeek12tutorialclass.Thesewillbemarkedforthecourseassessment(worth10%).You mustattachyourSTATAdofileandrelevantoutputtoyouranswers.Yoursubmission,including STATAprintout,shouldnotexceed5pages. Makesurethatyourname,studentnumber,coursename,tutorialgroupnumberandtutor'sname areincludedinyoursubmission.Donotuseplasticsheetsorbinders.Simplystaplethepages together.Donotsubmitlooseleafsheetsofpaper.Allsubmissionswillbecheckedforplagiarism, whichwillleadtoheavypenalty. TheUniversityregardsplagiarismasaformofacademicmisconduct,andhasverystrict rulesregardingplagiarism.ForUNSWspolicies,penalties,andinformationtohelpyou avoidplagiarismsee:http://www.lc.unsw.edu.au/plagiarism/index.html.

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