Chapter 8
1. Using the data in GPA3, the following equation was estimated for the fall and second
semester students:
Here, trmgpa is term GPA, crsgpa is a weighted average of overall GPA in courses
taken, cumgpa is GPA prior to the current semester, tothrs is total credit hours prior to
the semester, sat is SAT score, hsperc is graduating percentile in high school class,
female is a gender dummy, and season is a dummy variable equal to unity if the
student’s sport is in season during the fall. The usual and heteroskedasticity-robust
standard errors are reported in parentheses and brackets, respectively.
i. Do the variables crsgpa, cumgpa, and tothrs have the expected estimated effects?
Which of these variables are statistically significant at the 5% level? Does it matter
which standard errors are used?
Giải
-Crsgpa:
+ Dùng usual standard error: tstat =0.9/0.175
+ Dùng Robust std error tstat =0.9/0.166
Cả 2 đều significant at 1% => ko matter
-Mấy biến kia tương tự
ii. Why does the hypothesis H0: β crsgpa=1 make sense? Test this hypothesis against the
two-sided alternative at the 5% level, using both standard errors. Describe your
conclusions.
Giải
Test H0 với Beta=1 thì tstat= tstat – hypothesize value (=1)
Tstat (normal std errors) =1/0.175 – 1= 4.71 > 1.96
Tstat (Robust std errors) = 1/0.166 -1 = 5.024 > 1.96
Fail to Reject H0 (bé hơn ko reject dc, so sánh với critical value =1.64…) = H0
đúng
GPA phụ thuộc và course GPA/ Crsgpa là yếu tố quyết định term GPA
iii. Test whether there is an in-season effect on term GPA, using both standard errors.
Does the significance level at which the null can be rejected depend on the standard
error used?
Giải
Usual std er, tstat = 0.157/ 0.098= 1.6 -> ko sig at 5%
Robust, tstat= 1.9625 -> sig at 5%
2 kết quả khác nhau => nghi ngờ có heterokedasticity, nếu đề cho heter thì phải dung Robust
season is a dummy variable equal to unity if the student’s sport is in season during the fal l =>
dummy với base là ko thi đấu, check coi có khác nhau giữa trmgpa của bạn đang thi & ko thi
2. Use the data in HPRICE1 to obtain the heteroskedasticity-robust standard errors for
equation (8.17).
i. Discuss any important differences with the usual standard errors.
ii. Repeat part (i) for equation (8.18)
ii. What does this example suggest about heteroskedasticity and the transformation
used for the dependent variable?
Giải
The R-squared from the regression of u^2 on lotsize, sqrft, and bdrms is R(u^2)^2
=5 .1601. With n = 88 and k= 3, this produces an F statistic for significance of the
independent variables of F =(0.1601/3)/ ((0.1601-1)/(88-3-1)) gần = 5.34. The associated
p-value is .002, which is strong evidence against the null. This means that the usual
standard errors reported in (8.17) are not reliable
Regressing the squared OLS residuals from this regression on log(lotsize), log(sqrft), and
bdrms gives R22 u^ 5 .0480. Thus, F = 1.41 1p-value = .2452 ,
Therefore, we fail to reject the null hypothesis of homoskedasticity in the model
with the logarithmic functional forms.
