The modelsatisfies the groupwise heteroscedastic regression model of Section 9.7.2

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The modelsatisfies the groupwise heteroscedastic regression model of Section 9.7.2

Question
satisfies the groupwise heteroscedastic regression model of Section 9.7.2 All variables have zero means. The following sample second-moment matrix is obtained from a sample of 20 observations: a. Compute the two separate OLS estimates of β, their sampling variances, the estimates of σ and σ , and the R2€™s in the two regressions. b. Carry out the Lagrange multiplier test of the hypothesis that σ = σ . c. Compute the two-step FGLS estimate of β and an estimate of its sampling variance. Test the hypothesis that β equals 1. d. Carry out theWald test of equal disturbance variances. e. Compute the maximum likelihood estimates of β, σ , and σ by iterating the FGLS estimates to convergence. f. Carry out a likelihood ratio test of equal disturbance variances.
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