212ECN

MAY 2016

Coventry University

Faculty of Business, Environment and Society

212ECN

Introduction to Econometrics

Instructions to candidates

Time allowed: 3 hours

This is a closed book examination

Answer any 3 questions out of 4

All questions carry equal marks

Non programmable calculators may be used

Statistical tables are provided

You may take this exam paper away at the end of the examination:
please keep it in a safe place for future reference

Continued…
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Question 1

Table I
Model 1: Logit, using observations 1-100
Dependent variable: PC
Standard errors based on Hessian

Coefficient Std. Error z Slope*

const 0.170395 0.383668 0.4441
SEX 0.199162 0.447693 0.4449 0.0485263
CAMPUS 1.15939 0.665621 1.7418 0.28131
WORK −0.984154 0.580572 -1.6951 −0.221213
LECTURES −0.483189 0.226262 -2.1355 −0.117857

Mean dependent var 0.430000 S.D. dependent var 0.497570

McFadden R-squared 0.091215 Adjusted R-squared 0.018042
Log-likelihood −62.09863 Akaike criterion 134.1973
Schwarz criterion 147.2231 Hannan-Quinn 139.4690
*
Evaluated at the mean
Number of cases 'correctly predicted' = 72 (72.0%)
f(beta'x) at mean of independent vars = 0.498
Likelihood ratio test: Chi-square(4) = 12.4657 [0.0142]

Predicted
0 1
Actual

0 49 8
1 20 23

Data represents a random selection of 100 students collected by Christopher

Lemmon in 1994.

Variables are:
PC = 1 if student owns personal computer, = 0 otherwise,
SEX = 1 if male, = 0 otherwise,
CAMPUS = 1 if live on campus, = 0 otherwise,
WORK = 1 if work at least 20 hours a week, = 0 otherwise,
LECTURES – average number of lectures missed per week.

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Table II
Model 2: Logit, using observations 1-100
Dependent variable: PC
Standard errors based on Hessian
Coefficient Std. Error z Slope*
const −0.281851 0.201989 -1.3954

Mean dependent var 0.430000 S.D. dependent var 0.497570

McFadden R-squared 0.000000 Adjusted R-squared NA
Log-likelihood −68.33149 Akaike criterion 138.6630
Schwarz criterion 141.2682 Hannan-Quinn 139.7173
*
Evaluated at the mean
Number of cases 'correctly predicted' = 57 (57.0%)
f(beta'x) at mean of independent vars = 0.498

Predicted
0 1
Actual

0 57 0
1 43 0

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i. Estimate by how much the probability of owning personal computer

changes based on Model 1 if we assume that a student is a female,
leaving outside the campus, working 22 hours a week and her average
number of lectures missed per week changes from 0 to 1. Please refer
to Table I.
[25 marks]

ii. Is the coefficient on LECTURES in Model 1 statistically significant?

This requires you to: state the null and alternative hypotheses used,
determine a critical value at the 1% significance level; calculate z
statistic and present your decision. Please refer to Table I
[25 marks]

iii. Assess Model 1 based on measures of fit, namely McFadden R-

squared and Count R2.

This requires you to: explain what the McFadden R-squared and Count
R2 are, show how they are calculated and make a comment on the
values. Please refer to Table I and II.
[10 marks]

iv. Test whether the coefficients in Model 1 are jointly significant at the 1%
significance level.

This requires you to: state the null and alternative hypotheses used,
determine a critical value at the 1% significance level; show the
calculated likelihood ratio statistic and present your decision. Please
refer to Table I.
[25 marks]

v. What are advantages and disadvantages of the linear probability

model?
[15 marks]

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Question 2

The data are taken from Whittington, Alm, and Peters (1990) and represent
time series with annual observations from 1917 to 1984. The variables are:
FERTILITY – number of children born per 1000 women in US,
EXEMPTION – average real dollar value of personal tax exemption on
dependents in US (in US dollars),
PILL – availability of birth control pill in US, 1 if year 1963-1984, 0
otherwise,
WW2 – US involvement in World War II, 1 if 1941-1945, 0 otherwise.

Note: l_X - natural logarithm of X.

Table III
Model 3: OLS, using observations 1917-1984 (T = 68)
Dependent variable: l_FERTILITY

Coefficient Std. Error t-ratio p-value

const 4.27343 0.105896 40.3551 <0.00001 ***
l_EXEMPTION 0.0861726 0.0253429 3.4003 0.00116 ***
PILL −0.352682 0.0443791 -7.9470 <0.00001 ***
WW2 −0.228181 0.0761064 -2.9982 0.00386 ***

Mean dependent var 4.521353 S.D. dependent var 0.208403

Sum squared resid 1.460845 S.E. of regression 0.151082
R-squared 0.497982 Adjusted R-squared 0.474450
F(3, 64) 21.16181 P-value(F) 1.23e-09
Log-likelihood 34.08894 Akaike criterion −60.17788
Schwarz criterion −51.29985 Hannan-Quinn −56.66013
rho 0.881668 Durbin-Watson 0.195481

Table IV
Model 4: OLS, using observations 1917-1984 (T = 68)
Dependent variable: l_FERTILITY

Coefficient Std. Error t-ratio p-value

const 4.35679 0.108278 40.2371 <0.00001 ***
l_EXEMPTION 0.0603242 0.0252535 2.3887 0.01982 **
PILL −0.310992 0.0446594 -6.9636 <0.00001 ***

Mean dependent var 4.521353 S.D. dependent var 0.208403

Sum squared resid 1.666027 S.E. of regression 0.160097
R-squared 0.427471 Adjusted R-squared 0.409855
F(2, 65) 24.26570 P-value(F) 1.34e-08
Log-likelihood 29.62042 Akaike criterion −53.24084
Schwarz criterion −46.58232 Hannan-Quinn −50.60253
rho 0.913444 Durbin-Watson 0.141084

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i. Is the coefficient on l_EXEMPTION in Model 3 in Table III statistically

significant?

This requires you to: state the null and alternative hypotheses used,
determine a critical value at the 1% significance level; calculate t
statistic and present your decision.
[25 marks]

ii. Is Model 4 in Table IV statistically significant?

This requires you to: state the null and alternative hypotheses used,
determine a critical value at the 5% significance level; calculate F
statistic and present your decision.
[25 marks]

iii. State how you would test for the omission of the WW2 in Model 3 in
Table III using an F-statistic. Please refer to Table III and IV.

This requires you to: state the null and alternative hypotheses used,
determine a critical value at the 5% significance level; calculate F
statistic and present your decision.
[25 marks]

iv. Interpret the value of the parameter on l_EXEMPTION variable in the

Model 3 in Table III.
[10 marks]

v. Are the signs of the l_EXEMPTION, PILL and WW2 estimated

coefficients in the Model 3 in Table III in line with the expectations
based on the theory? Explain your answer.
[15 marks]

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Question 3

Table V presents the Ramsey’s RESET test of the Model 3 in Table III in
Question 2.

Table VI presents the White test of the Model 3 in Table III in Question 2.

Table V

Auxiliary regression for RESET specification test

OLS, using observations 1917-1984 (T = 68)
Dependent variable: l_FERTILITY

coefficient std. error t-ratio p-value

-----------------------------------------------------------
const 15101.3 2958.73 5.104 3.40e-06 ***
l_EXEMPTION 470.608 92.1501 5.107 3.36e-06 ***
PILL −1926.15 377.181 −5.107 3.36e-06 ***
WW2 −1246.36 244.055 −5.107 3.36e-06 ***
yhat^2 −1205.78 236.440 −5.100 3.45e-06 ***
yhat^3 88.7032 17.4169 5.093 3.54e-06 ***

Sum squared resid = 1.025807

Test statistic: F = 13.146874,

with p-value = P(F(2,62) > 13.1469) = 1.74e-005

Table VI

White's test for heteroskedasticity

OLS, using observations 1917-1984 (T = 68)
Dependent variable: uhat^2

coefficient std. error t-ratio p-value

-------------------------------------------------------------
const −0.231524 0.120789 −1.917 0.0600 *
l_EXEMPTION 0.144596 0.0611289 2.365 0.0212 **
PILL −0.496512 0.155354 −3.196 0.0022 ***
WW2 −0.271128 0.161139 −1.683 0.0976 *
sq_l_EXEMPTION −0.0192378 0.00738373 −2.605 0.0115 **
X2_X3 0.104139 0.0320051 3.254 0.0019 ***
X2_X4 0.0530424 0.0317673 1.670 0.1001

Unadjusted R-squared = 0.342045

Test statistic: TR^2 = 23.259037,

with p-value = P(Chi-square(6) > 23.259037) = 0.000714

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i. Explain the nature of the multicollinearity problem in regression

analysis and state what consequences it has for OLS estimation.

Explain in detail how we can test for the problem and how a regression
can be corrected if multicollinearity is found.
[50 marks]

ii. Undertake the Ramsey’s RESET test.

This requires you to: state the null and alternative hypotheses used,
determine a critical value at the 5% significance level; calculate F
statistic and present your decision. Please refer to Table V.
[25 marks]

iii. Undertake the White test.

This requires you to: state the null and alternative hypotheses used,
determine a critical value at the 5% significance level; calculate the
White statistic and present your decision. Please refer to Table VI.
[25 marks]

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Question 4

Table VII presents the summary statistics of the residuals from the Model 3 in
Table III in Question 2.

Table VIII presents the Chow test of the Model 3 in Table III in Question 2.

Table IX presents the Breusch-Godfrey test of the Model 3 in Table III in

Question 2.

Table VII

Summary Statistics, using the observations 1917 - 1984

for the variable uhat3 (68 valid observations)
Mean Median Minimum Maximum
-1.95922e-016 0.00133344 -0.282646 0.327800
Std. Dev. C.V. Skewness Ex. kurtosis
0.147661 undefined 0.130942 -0.667137
5% Perc. 95% Perc. IQ range Missing obs.
-0.237752 0.264607 0.220602 0

Table VIII
Augmented regression for Chow test
OLS, using observations 1917-1984 (T = 68)
Dependent variable: l_FERTILITY
Omitted due to exact collinearity: sd_PILL

coefficient std. error t-ratio p-value

----------------------------------------------------------------
const 4.29154 0.104730 40.98 1.29e-046 ***
l_EXEMPTION 0.0817263 0.0250704 3.260 0.0018 ***
PILL −0.314391 0.0476021 −6.605 1.03e-08 ***
WW2 −0.223639 0.0749385 −2.984 0.0041 ***
splitdum −0.268888 2.10857 −0.1275 0.8989
sd_l_EXEMPTION 0.0248868 0.454504 0.05476 0.9565

Mean dependent var 4.521353 S.D. dependent var 0.208403

Sum squared resid 1.370414 S.E. of regression 0.148672
R-squared 0.529058 Adjusted R-squared 0.491079
F(5, 62) 13.93022 P-value(F) 4.02e-09
Log-likelihood 36.26160 Akaike criterion −60.52320
Schwarz criterion −47.20616 Hannan-Quinn −55.24658
rho 0.869511 Durbin-Watson 0.210712

Chow test for structural break at observation 1980

F(2, 62) = 2.04562 with p-value 0.1379

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Table IX

Breusch-Godfrey test for autocorrelation up to order 2

OLS, using observations 1917-1984 (T = 68)
Dependent variable: uhat

coefficient std. error t-ratio p-value

--------------------------------------------------------------
const 0.00222214 0.0511315 0.04346 0.9655
l_EXEMPTION −0.00133500 0.0122323 −0.1091 0.9134
PILL −0.000351478 0.0214273 −0.01640 0.9870
WW2 0.0316666 0.0372191 0.8508 0.3981
uhat_1 0.951970 0.126778 7.509 2.82e-010 ***
uhat_2 −0.0760711 0.128657 −0.5913 0.5565

Unadjusted R-squared = 0.774634

Test statistic: TR^2 = 52.675086,

with p-value = P(Chi-square(2) > 52.6751) = 3.65e-012

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i. Are the residuals from the Model 3 normally distributed?

This requires you to: state the null and alternative hypotheses used,
determine a critical value at the 1% significance level; calculate Jarque-
Bera statistic and present your decision. Please refer to Table VII.
[25 marks]

ii. Is there a structural break in Model 3?

This requires you to: state the null and alternative hypotheses used,
determine a critical value at the 5% significance level; calculate Chow
statistic and present your decision. Please refer to Table VIII.
[25 marks]

iii. Explain briefly how to compare R2 between linear and log-log model.
[15 marks]

iv. What are the three components of a constant estimate?

[10 marks]

v. Does Model 3 exhibit autocorrelation up to order 2?

This requires you to: state the null and alternative hypotheses used,
determine a critical value at the 5% significance level; calculate
Breusch-Godfrey statistic and present your decision. Please refer to
Table IX.
[25 marks]

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Statistical tables
Student t F
Z Durbin-Watson
Χ2 QLR

Student t

df – 1 tailed 0.10 0.05 0.025 0.01 0.005

df – 2 tailed 0.2 0.1 0.05 0.02 0.01
10 1.37 1.81 2.23 2.76 3.17
11 1.36 1.80 2.20 2.72 3.11
12 1.36 1.78 2.18 2.68 3.05
13 1.35 1.77 2.16 2.65 3.01
14 1.35 1.76 2.14 2.62 2.98
15 1.34 1.75 2.13 2.60 2.95
16 1.34 1.75 2.12 2.58 2.92
17 1.33 1.74 2.11 2.57 2.90
18 1.33 1.73 2.10 2.55 2.88
19 1.33 1.73 2.09 2.54 2.86
20 1.33 1.72 2.09 2.53 2.85
21 1.32 1.72 2.08 2.52 2.83
22 1.32 1.72 2.07 2.51 2.82
23 1.32 1.71 2.07 2.50 2.81
24 1.32 1.71 2.06 2.49 2.80
25 1.32 1.71 2.06 2.49 2.79
26 1.31 1.71 2.06 2.48 2.78
28 1.31 1.70 2.05 2.47 2.76
30 1.31 1.70 2.04 2.46 2.75
infinity 1.28 1.64 1.96 2.33 2.58

Cumulative standardized normal distribution table is shown on the next page

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Cumulative standardized normal distribution

z 0 0.01 0.02 0.03 0.04 0.05 0.06 0.07 0.08 0.09

0 0.50000 0.50399 0.50798 0.51197 0.51595 0.51994 0.52392 0.52790 0.53188 0.53586
0.1 0.53983 0.54380 0.54776 0.55172 0.55567 0.55962 0.56356 0.56749 0.57142 0.57535
0.2 0.57926 0.58317 0.58706 0.59095 0.59483 0.59871 0.60257 0.60642 0.61026 0.61409
0.3 0.61791 0.62172 0.62552 0.62930 0.63307 0.63683 0.64058 0.64431 0.64803 0.65173
0.4 0.65542 0.65910 0.66276 0.66640 0.67003 0.67364 0.67724 0.68082 0.68439 0.68793
0.5 0.69146 0.69497 0.69847 0.70194 0.70540 0.70884 0.71226 0.71566 0.71904 0.72240
0.6 0.72575 0.72907 0.73237 0.73565 0.73891 0.74215 0.74537 0.74857 0.75175 0.75490
0.7 0.75804 0.76115 0.76424 0.76730 0.77035 0.77337 0.77637 0.77935 0.78230 0.78524
0.8 0.78814 0.79103 0.79389 0.79673 0.79955 0.80234 0.80511 0.80785 0.81057 0.81327
0.9 0.81594 0.81859 0.82121 0.82381 0.82639 0.82894 0.83147 0.83398 0.83646 0.83891
1 0.84134 0.84375 0.84614 0.84849 0.85083 0.85314 0.85543 0.85769 0.85993 0.86214
1.1 0.86433 0.86650 0.86864 0.87076 0.87286 0.87493 0.87698 0.87900 0.88100 0.88298
1.2 0.88493 0.88686 0.88877 0.89065 0.89251 0.89435 0.89617 0.89796 0.89973 0.90147
1.3 0.90320 0.90490 0.90658 0.90824 0.90988 0.91149 0.91309 0.91466 0.91621 0.91774
1.4 0.91924 0.92073 0.92220 0.92364 0.92507 0.92647 0.92785 0.92922 0.93056 0.93189
1.5 0.93319 0.93448 0.93574 0.93699 0.93822 0.93943 0.94062 0.94179 0.94295 0.94408
1.6 0.94520 0.94630 0.94738 0.94845 0.94950 0.95053 0.95154 0.95254 0.95352 0.95449
1.7 0.95543 0.95637 0.95728 0.95818 0.95907 0.95994 0.96080 0.96164 0.96246 0.96327
1.8 0.96407 0.96485 0.96562 0.96638 0.96712 0.96784 0.96856 0.96926 0.96995 0.97062
1.9 0.97128 0.97193 0.97257 0.97320 0.97381 0.97441 0.97500 0.97558 0.97615 0.97670
2 0.97725 0.97778 0.97831 0.97882 0.97932 0.97982 0.98030 0.98077 0.98124 0.98169
2.1 0.98214 0.98257 0.98300 0.98341 0.98382 0.98422 0.98461 0.98500 0.98537 0.98574
2.2 0.98610 0.98645 0.98679 0.98713 0.98745 0.98778 0.98809 0.98840 0.98870 0.98899
2.3 0.98928 0.98956 0.98983 0.99010 0.99036 0.99061 0.99086 0.99111 0.99134 0.99158
2.4 0.99180 0.99202 0.99224 0.99245 0.99266 0.99286 0.99305 0.99324 0.99343 0.99361
2.5 0.99379 0.99396 0.99413 0.99430 0.99446 0.99461 0.99477 0.99492 0.99506 0.99520
2.6 0.99534 0.99547 0.99560 0.99573 0.99585 0.99598 0.99609 0.99621 0.99632 0.99643
2.7 0.99653 0.99664 0.99674 0.99683 0.99693 0.99702 0.99711 0.99720 0.99728 0.99736
2.8 0.99744 0.99752 0.99760 0.99767 0.99774 0.99781 0.99788 0.99795 0.99801 0.99807
2.9 0.99813 0.99819 0.99825 0.99831 0.99836 0.99841 0.99846 0.99851 0.99856 0.99861
3 0.99865 0.99869 0.99874 0.99878 0.99882 0.99886 0.99889 0.99893 0.99896 0.99900
3.1 0.99903 0.99906 0.99910 0.99913 0.99916 0.99918 0.99921 0.99924 0.99926 0.99929
3.2 0.99931 0.99934 0.99936 0.99938 0.99940 0.99942 0.99944 0.99946 0.99948 0.99950

Chi-Squared table is shown on the next page

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Right tail areas for the Chi-Squared distribution

df \ area area = .100 .050 .025 .010 .005

df = 1 2.71 3.84 5.02 6.63 7.88
2 4.61 5.99 7.38 9.21 10.60
3 6.25 7.81 9.35 11.34 12.84
4 7.78 9.49 11.14 13.28 14.86
5 9.24 11.07 12.83 15.09 16.75
6 10.64 12.59 14.45 16.81 18.55
7 12.02 14.07 16.01 18.48 20.28
8 13.36 15.51 17.53 20.09 21.95
9 14.68 16.92 19.02 21.67 23.59
10 15.99 18.31 20.48 23.21 25.19
11 17.28 19.68 21.92 24.72 26.76
12 18.55 21.03 23.34 26.22 28.30
13 19.81 22.36 24.74 27.69 29.82
14 21.06 23.68 26.12 29.14 31.32
15 22.31 25.00 27.49 30.58 32.80
16 23.54 26.30 28.85 32.00 34.27
17 24.77 27.59 30.19 33.41 35.72
18 25.99 28.87 31.53 34.81 37.16
19 27.20 30.14 32.85 36.19 38.58
20 28.41 31.41 34.17 37.57 40.00
25 34.38 37.65 40.65 44.31 46.93
30 40.26 43.77 46.98 50.89 53.67
35 46.06 49.80 53.20 57.34 60.27

F table is shown on the next page

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Upper 5% points on the F distribution

df
2\ df1
2 3 4 5 6 7 8 9 10 12 15 20 30 40 60 120 inf
df =1
1
df
2
= 161. 199. 215. 224. 230. 234. 236. 238. 240. 241. 243. 245. 248. 250. 251. 252. 253. 254.
1 5 5 7 6 2 0 8 9 5 9 9 9 0 1 1 2 3 3
18.5 19.0 19.1 19.2 19.3 19.3 19.3 19.3 19.3 19.3 19.4 19.4 19.4 19.4 19.4 19.4 19.4 19.5
2
1 0 6 5 0 3 5 7 8 4 1 2 5 6 7 8 9 0
10.1
3
2 9.55 9.28 9.12 9.01 8.94 8.89 8.85 8.81 8.79 8.74 8.70 8.66 8.62 8.59 8.57 8.55 8.53
4 7.71 6.94 6.59 6.39 6.26 6.16 6.09 6.04 6.00 5.96 5.91 5.86 5.80 5.75 5.72 5.69 5.66 5.63
5 6.61 5.79 5.41 5.19 5.05 4.95 4.88 4.82 4.77 4.74 4.68 4.62 4.56 4.50 4.46 4.43 4.40 4.37
6 5.99 5.14 4.76 4.53 4.39 4.28 4.21 4.15 4.10 4.06 4.00 3.94 3.87 3.81 3.77 3.74 3.70 3.67
7 5.59 4.74 4.35 4.12 3.97 3.87 3.79 3.73 3.68 3.64 3.57 3.51 3.44 3.38 3.34 3.30 3.27 3.23
8 5.32 4.46 4.07 3.84 3.69 3.58 3.50 3.44 3.39 3.35 3.28 3.22 3.15 3.08 3.04 3.01 2.97 2.93
9 5.12 4.26 3.86 3.63 3.48 3.37 3.29 3.23 3.18 3.14 3.07 3.01 2.94 2.86 2.83 2.79 2.75 2.71
10 4.96 4.10 3.71 3.48 3.33 3.22 3.14 3.07 3.02 2.98 2.91 2.85 2.77 2.70 2.66 2.62 2.58 2.54
11 4.84 3.98 3.59 3.36 3.20 3.09 3.01 2.95 2.90 2.85 2.79 2.72 2.65 2.57 2.53 2.49 2.45 2.40
12 4.75 3.89 3.49 3.26 3.11 3.00 2.91 2.85 2.80 2.75 2.69 2.62 2.54 2.47 2.43 2.38 2.34 2.30
13 4.67 3.81 3.41 3.18 3.03 2.92 2.83 2.77 2.71 2.67 2.60 2.53 2.46 2.38 2.34 2.30 2.25 2.21
14 4.60 3.74 3.34 3.11 2.96 2.85 2.76 2.70 2.65 2.60 2.53 2.46 2.39 2.31 2.27 2.22 2.18 2.13
15 4.54 3.68 3.29 3.06 2.90 2.79 2.71 2.64 2.59 2.54 2.48 2.40 2.33 2.25 2.20 2.16 2.11 2.07
16 4.49 3.63 3.24 3.01 2.85 2.74 2.66 2.59 2.54 2.49 2.42 2.35 2.28 2.19 2.15 2.11 2.06 2.01
17 4.45 3.59 3.20 2.96 2.81 2.70 2.61 2.55 2.49 2.45 2.38 2.31 2.23 2.15 2.10 2.06 2.01 1.96
18 4.41 3.55 3.16 2.93 2.77 2.66 2.58 2.51 2.46 2.41 2.34 2.27 2.19 2.11 2.06 2.02 1.97 1.92
19 4.38 3.52 3.13 2.90 2.74 2.63 2.54 2.48 2.42 2.38 2.31 2.23 2.16 2.07 2.03 1.98 1.93 1.88
20 4.35 3.49 3.10 2.87 2.71 2.60 2.51 2.45 2.39 2.35 2.28 2.20 2.12 2.04 1.99 1.95 1.90 1.84
21 4.32 3.47 3.07 2.84 2.68 2.57 2.49 2.42 2.37 2.32 2.25 2.18 2.10 2.01 1.96 1.92 1.87 1.81
23 4.28 3.42 3.03 2.80 2.64 2.53 2.44 2.37 2.32 2.27 2.20 2.13 2.05 1.96 1.91 1.86 1.81 1.76
26 4.23 3.37 2.98 2.74 2.59 2.47 2.39 2.32 2.27 2.22 2.15 2.07 1.99 1.90 1.85 1.80 1.75 1.69
27 4.21 3.35 2.96 2.73 2.57 2.46 2.37 2.31 2.25 2.20 2.13 2.06 1.97 1.88 1.84 1.79 1.73 1.67
28 4.20 3.34 2.95 2.71 2.56 2.45 2.36 2.29 2.24 2.19 2.12 2.04 1.96 1.87 1.82 1.77 1.71 1.65
29 4.18 3.33 2.93 2.70 2.55 2.43 2.35 2.28 2.22 2.18 2.10 2.03 1.94 1.85 1.81 1.75 1.70 1.64
30 4.17 3.32 2.92 2.69 2.53 2.42 2.33 2.27 2.21 2.16 2.09 2.01 1.93 1.84 1.79 1.74 1.68 1.62
40 4.08 3.23 2.84 2.61 2.45 2.34 2.25 2.18 2.12 2.08 2.00 1.92 1.84 1.74 1.69 1.64 1.58 1.51
60 4.00 3.15 2.76 2.53 2.37 2.25 2.17 2.10 2.04 1.99 1.92 1.84 1.75 1.65 1.59 1.53 1.47 1.39
12
0 3.92 3.07 2.68 2.45 2.29 2.18 2.09 2.02 1.96 1.91 1.83 1.75 1.66 1.55 1.50 1.43 1.35 1.25
inf 3.84 3.00 2.60 2.37 2.21 2.10 2.01 1.94 1.88 1.83 1.75 1.67 1.57 1.46 1.39 1.32 1.22 1.00

Durbin-Watson table is shown on the next page

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Durbin-Watson distribution: 5% significance points of dl and du in one-

tailed test

k=1 k=2 k=3 k=4 k=5 k=6

n dl du dl du dl du dl du dl du dl du
15 1.08 1.32 0.95 1.54 0.82 1.75 0.69 1.97 0.56 2.21 0.50 2.39
16 1.10 1.37 0.98 1.54 0.86 1.73 0.74 1.93 0.62 2.15 0.55 2.12
17 1.13 1.38 1.02 1.54 0.90 1.71 0.78 1.90 0.67 2.10 0.60 2.26
18 1.16 1.39 1.05 1.53 0.93 1.69 0.82 1.87 0.71 2.06 0.65 2.20
19 1.18 1.40 1.08 1.53 0.97 1.68 0.86 1.85 0.75 2.02 0.69 2.16
20 1.20 1.41 1.10 1.54 1.00 1.68 0.90 1.83 0.79 1.99 0.73 2.12
21 1.22 1.42 1.13 1.54 1.03 1.67 0.93 1.81 0.83 1.96 0.77 2.09
22 1.24 1.43 1.15 1.54 1.05 1.66 0.96 1.80 0.86 1.94 0.80 2.06
23 1.26 1.44 1.17 1.54 1.08 1.66 0.99 1.79 0.90 1.92 0.84 2.04
24 1.27 1.45 1.19 1.55 1.10 1.66 1.01 1.78 0.93 1.90 0.87 2.01
25 1.29 1.45 1.21 1.55 1.12 1.66 1.04 1.77 0.95 1.89 0.90 1.99
26 1.30 1.46 1.22 1.55 1.14 1.65 1.06 1.76 0.98 1.88 0.93 1.97
27 1.32 1.47 1.24 1.56 1.16 1.65 1.08 1.76 1.01 1.86 0.95 1.96
28 1.33 1.48 1.26 1.56 1.18 1.65 1.10 1.75 1.03 1.85 0.96 1.94
29 1.34 1.48 1.27 1.56 1.20 1.65 1.12 1.74 1.05 1.84 1.00 1.93
30 1.35 1.49 1.28 1.57 1.21 1.65 1.14 1.74 1.07 1.83 1.02 1.92
35 1.40 1.52 1.34 1.58 1.28 1.65 1.22 1.73 1.16 1.80 1.10 1.88
40 1.44 1.54 1.39 1.60 1.34 1.66 1.29 1.72 1.23 1.79 1.18 1.85
50 1.50 1.59 1.46 1.63 1.42 1.67 1.38 1.72 1.34 1.77 1.29 1.82
60 1.55 1.62 1.51 1.65 1.48 1.69 1.44 1.73 1.41 1.77 1.33 1.81
70 1.58 1.64 1.55 1.67 1.52 1.70 1.49 1.74 1.46 1.77 1.43 1.80
80 1.61 1.66 1.59 1.69 1.56 1.72 1.53 1.74 1.51 1.77 1.48 1.80
90 1.63 1.68 1.61 1.70 1.59 1.73 1.57 1.75 1.54 1.78 1.51 1.80
100 1.65 1.69 1.63 1.72 1.61 1.74 1.59 1.76 1.57 1.78 1.55 1.80
200 1.76 1.78 1.75 1.79 1.74 1.80 1.73 1.81 1.71 1.82 1.71 1.83

QLR table is shown on the next page

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Critical values of the QLR statistic with 15% trimming

Significance level
Number of restrictions (r)
10% 5% 1%
1 7.12 8.68 12.16
2 5.00 5.86 7.78
3 4.09 4.71 6.02
4 3.59 4.09 5.12
5 3.26 3.66 4.53
6 3.02 3.37 4.12
7 2.84 3.15 3.82
8 2.69 2.98 3.57
9 2.58 2.84 3.38
10 2.48 2.71 3.23
11 2.40 2.62 3.09
12 2.33 2.54 2.97
13 2.27 2.46 2.87
14 2.21 2.40 2.78
15 2.16 2.34 2.71
16 2.12 2.29 2.64
17 2.08 2.25 2.58
18 2.05 2.20 2.53
19 2.01 2.17 2.48
20 1.99 2.13 2.43
Source: Andrews (2003)

Page 16 End