Introduction to Econometrics
An Empirical Analysis
Submitted to
Dr. A.K. Enamul Haque Professor Department of Economics United International University
Submitted by:
Mohammad Ahshanullah Jashodhan Saha Ali Haider Al Mamun Mridha
April 01 2010
Contents
Page
1. Introduction and Methodology 2. Econometric Model
03 04‐09
(i) Development of model (ii) Ordinary least square regression (iii) Test of Normality (iv) Specification error (Ramsey’s Reset and LM test) 3. Violations of CLRM Assumptions (Heteroscedasticity) (i) Park Test (ii) Glejser Test (iii) Breusch – Pagan _Godfrey Test (BPG‐TEST) (iv) Goldfeld –Quandt Test (G‐Q) TEST (v) White General Test (vi) Remedial Measures Violations of CLRM Assumptions: (Multicolinearity) (i) High R2 but few significant t ratios (ii) Pair‐wise correlations among regerssors (iii) Auxiliary regressions (iv) Correcting for Multicollinearity Violations of CLRM Assumption (Autocorrelation) 10‐23
4.
23‐28
5.
28‐30
(i) Durbin‐Watson d Test (ii) The runs test (iii) The Breusch _Godfrey (BG) test (iv) Remedies” for Autocorrelation 6. Conclusion 7. References 8. Appendices
33 33 33
Introduction and Methodology The key idea behind the regression analysis is the statistical dependence of one variable (i.e. dependent variable), on one or more independent variable i.e. explanatory variables (Gujarati, 2005). The objective of such ...