5. c) The econometrician follows your guidance (!!!) in part (b) and calculates a
value for the Durbin–Watson statistic of 0.95. The regression has sixty quarterly
observations and three explanatory variables (plus a constant term). Perform the
test. What is your conclusion?
T = 60; k’ = 3 => dL = 1.32; dU = 1.52
4 – dL = 4 – 1.32 = 2.68
4 – dU = 4 – 1.52 = 2.48
DW = 0.95 < dL = 1.32 => Reject H0 => Positive autocorrelation
6) Calculate the long-run static equilibrium solution to the following dynamic
econometric model
In the long run:
0 = 𝐵1 + 𝐵4 𝑦𝑡−1 + 𝐵5 𝑥2𝑡−1 + 𝐵6 𝑥3𝑡−1 + 𝐵7 𝑥3𝑡−4
𝐵4 𝑦𝑡−1 = -𝐵1 − 𝐵5 𝑥2𝑡−1 − 𝐵6 𝑥3𝑡−1 − 𝐵7 𝑥3𝑡−4
Y=
−𝐵1
𝐵4
−
𝐵5
𝐵4
𝑥2 −
𝐵6
𝐵4
𝑥3 −
𝐵5
𝐵4
𝑥3