ETF3200-ETF5200 Applied Econometrics Tutorial 4
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ECONOMETRICS AND BUSINESS STATISTICS
Applied Econometrics
Tutorial 4
1. Page 510, Ex. 10.1. parts a, b, d, but read part c to know that details for the regression
in column (4). (Carter, Griffiths, Lim - Principles of Econometrics, 5th Ed. (2017))
2. Page 514, Ex. 10.12. parts a, b, c, d, e. (Carter, Griffiths, Lim - Principles of Econometrics, 5th Ed. (2017))
3. Practice using EViews: Use the savings.csv dataset to estimate the effect of income on savings. The 50 observations in the data set relate to savings (y), income (x), and averaged income (z).
a) Estimate a least squares regression of savings on income.
b) Estimate the relation between savings and income (x) using the instrumental variables estimator, with instrument (z), using EViews designed for instrumental variables or two-stage least squares estimation.
c) Use two least squares regressions to obtain the IV estimates in part (b). Compare the estimates, standard errors, and t-statistics to those in part (b) and comment on the differences.
2022-09-01