ETC2410 Assignment 2:  Introductory Econometrics S1 2025 | MU

Published: 26 May, 2025
Category Assignment Subject Econometrics
University Monash University (MU) Module Title ETC2410 Introductory Econometrics
Submission Deadline: submitted by 4:30 pm Australian Friday, 30 May 2025 Semester: S1 
Assignment no.: Assignment 2 Academic year: 2025

ETC2410 Introductory Econometrics Assignment

ETC2410 Question 1

Consider the linear regression equation for yearly CEP growth with its first and second lag as predictors. (40 marks)

  1. Estimate the linear regression equation. Is there any informal evidence to suggest that the error term may be heteroskedastic? (5 marks)
  2. Perform the Breusch-Pagan test of the null hypothesis that the conditional variance of the error term is homoskedastic against the alternative that the variance before 2000 Q1 f is different compared to on and after 2000Q1. Specify any auxiliary regressions that you estimate in answering the question.
  3. term is homoskedastic against the alternative that it. is a smooth function of the regressors. Specify any auxiliary regressions that you estimate in answering the question. State the null and alternative hypotheses in terms of restrictions on relevant parameters, specify the form and distribution of the test statistic under the null, the sample value and critical value of the test statistic, your decision rule and your conclusion. (8 marks) 
  4. Is there any informal evidence to suggest that the error term may be serially correlated? (3 marks)
  5. Construct a correlogram for the error term. Briefly discuss your findings. (4 marks)
  6. Perform a Breusch-Codfrey test of the null hypothesis that there is no second-order autocorrelation in the error term. Specify any auxiliary regressions that you estimate in answering the question. State the null and alternative hypotheses in terms of restrictions on relevant parameters, specify the form and distribution of the test statistic under the null, the sample value and critical value of the test. statistic, your decision nile and your conclusion. (8 marks)
  7. Construct the correct standard errors for the model for GDP growth based on the results above. Compare the results obtained with the usual OIS standard errors to the results with the corrected standard errors. (4 marks)

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