NATIONAL COLLEGE OF BUSINESS ADMINISTRATION AND ECONOMICS

FINAL TERM EXAMINATION, JUNE 2016

CLASS: M.PHILL ECONOMICS
SEMESTER: 2nd & 3rd
PAPER: APPLIED ECONOMETRICS
MARKS: 35
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QUESTION NO. 1: Answer the Following Questions.
5, Marks
Spurious Regression
Stationarity Vs Non Stationarity
When we use Durbin-h test.
QUESTION NO. 2: Given the Following Output, check the existence of Unit Roots. Also mention the order of
integration of both the variables.
10, Marks
Null Hypothesis: X has a unit root
Exogenous: Constant
Lag Length: 4 (Automatic - based on SIC, maxlag=17)

Augmented Dickey-Fuller test statistic

Test critical values:
1% level
5% level
10% level

t-Statistic

Prob.*

-1.525288
-3.443334
-2.867159
-2.569825

0.5201

t-Statistic

Prob.*

-23.41250
-3.443254
-2.867124
-2.569806

0.0000

*MacKinnon (1996) one-sided p-values.

Null Hypothesis: D(Z) has a unit root

Exogenous: Constant
Lag Length: 0 (Automatic - based on SIC, maxlag=17)

Augmented Dickey-Fuller test statistic

Test critical values:
1% level
5% level
10% level
*MacKinnon (1996) one-sided p-values.

QUESTION NO. 2: Given the Following Output, of the Logit Model, interpret results.

10, Marks

QUESTION NO. 3: Given the Following estimated Results of Breusch-Pagan Test, with Chi-Square Value
Chi=5.991. Test the existence of Hetroscedasticity.

10, Marks

Dependent Variable: PRICE

Method: Least Squares
Date: 06/04/16 Time: 08:11
Sample: 1 88
Included observations: 88
Variable

Coefficient

Std. Error

t-Statistic

Prob.

SQFEET
ROOMS
C

128.4362
15198.19
-19315.00

13.82446
9483.517
31046.62

9.290506
1.602590
-0.622129

0.0000
0.1127
0.5355

R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
F-statistic
Prob(F-statistic)

0.631918
0.623258
63044.84
3.38E+11
-1095.881
72.96353
0.000000

Mean dependent var

S.D. dependent var
Akaike info criterion
Schwarz criterion
Hannan-Quinn criter.
Durbin-Watson stat

293546.0
102713.4
24.97458
25.05903
25.00860
1.757956

Auxiliary Regression Results

Dependent Variable: UTSQ

Method: Least Squares
Date: 06/04/16 Time: 08:12
Sample: 1 88
Included observations: 88
Variable

Coefficient

Std. Error

t-Statistic

Prob.

ROOMS
SQFEET
C

1.19E+09
3881720.
-8.22E+09

1.19E+09
1739736.
3.91E+09

0.995771
2.231213
-2.103344

0.3222
0.0283
0.0384

R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
F-statistic
Prob(F-statistic)

0.120185
0.099484
7.93E+09
5.35E+21
-2129.248
5.805633
0.004331

Mean dependent var

S.D. dependent var
Akaike info criterion
Schwarz criterion
Hannan-Quinn criter.
Durbin-Watson stat

3.84E+09
8.36E+09
48.46019
48.54464
48.49421
1.649127