BEEQ3013 SULIT/CONFIDENTIAL — PEPERIKSAAN AKHIR SEMESTER PERTAMA SESI 2016/2017 FINAL EXAMINATION FIRST SEMESTER 2016/2017 SESSION KOD/NAMA KURSUS_—: BEEQ3013 EKONOMETRIK COURSE CODE/NAME BEEQ3013 ECONOMETRICS TARIKHIDATE : 29 DISEMBERIDECEMBER 2016 (KHAMIS/THURSDAY) MASAITIME : 2.30 — 5.00 PM (2 % JAM/HOURS) TEMPATIVENUE : DPA1 ARAHANIINSTRUCTIONS: 4. Kertas soalan ini mengandungi LIMA (5) soalan dalam DUA PULUH DUA (22) halaman bercetak tidak termasuk kulit hadapan This examination paper contains FIVE (5) questions in TWENTY TWO (22) printed pages excluding the cover page. 2. Anda dikehendaki menjawab SEMUA soalan di dalam ruang disediakan dalam kertas soalan. Candidates are required to answer ALL questions in the space provided in examination paper. 3. Calon TIDAK DIBENARKAN membawa keluar kertas soalan dari dewan peperiksaan Candidates are NOT ALLOWED to take examination question paper of the examination hall 4. Calon adalah tertakiuk di bawah TATACARA PERATURAN KECURANGAN AKADEMIK UUM Candidates are bound by the UUM's RULES AND PROCEDURES ON ACADEMIC FRAUD. NO. MATRI MATRIC NO.: (dengan perkataan/in words) (dengan angka/in numbers) NO. KAD PENGENALAN: IDENTIFICATION CARD NO.: | | NAMA PENSYARAHILECTURER’S NAME: __ oe KUMPULAN/GROUP: [| NOMBOR MEJAITABLE NO.: | | JANGAN BUKA KERTAS SOALAN INI SEHINGGA DIBERI ARAHAN DO NOT OPEN THIS EXAMINATION PAPER UNTIL INSTRUCTED SULIT/ CONFIDENTIAL{BEEQ3013 EKONOMETRIK/ ECONOMETRICS NO. MATRIK/MATRIC NO. SOALAN SATU / QUESTION ONE (20 MARKAH/MARKS) a) _Jelaskan secara ringkas konsep-konsep di bawah: Briefly explain the concepts below: i) Mode! lat tertabur tethad / Finite distributed lag models (4 markab/marks) ji) Proses purata bergerak tingkat pertama / Moving average process of order one. (4 markah/marks) iii) — Model pane! kesan tetap / Fixed effect panel modet (4 markah/marks)¢ BEEQION3 EKONOMETRIK/ ECONOMETRICS NO MATRIKACATRIC NO, iv) Pembolehubah radas /Instrumental variable (1V) (4 markah/marks) vy) Punca unit / Unit root (4 markah/marks)BEEQ3013 EKONOMETRIK/ ECONOMETRICS (ND, MATRIKIATRIC NO. SOALAN DUA / QUESTION TWO (20 MARKAH/MARKS) a) Merujuk kepada ekonomi Amerika Syarikat, pembolehubah gprice merujuk kepada peningkatan bulanan tingkat harga keseluruhan manakala gwage merujuk kepada peningkatan bulanan upah per jam. Dengan menggunakan data bulanan, penganggaran model {at tertabur dilakukan seperti berikut; For the United States economy, let gprice denote the monthly growth in the overall price level and det gwage be the monthly growth in hourly wage. Using the monthly data we estimate the following distributed lag model. gprite= -0.003+ 0.119gwage + 0.097 gwage;-; + 0.040 gwagey_» + (0.00057) (0.052) (0.039) (0.039) 0.038 gwage,3+ 0.081 gwage4+ 0.107 gwage;s+ 0.095 gwagee* (0.039) (0.038) (0.039) (0.039) 0104 gwage,7+ 0.103 gwage.g+ 0.159 gwage,9+ 0.110 gwagey_so+ (0.039) (0.039) (0.039) (0.039) 0.103 gwages-s1+ 0.016 gwage,-s2 (0.039) (0.052) i) N=273 R?= 0.317 R?=0.283 () ralat piawai / standard error Lakarkan pengganggar lat tertabur. Pada lat berapakah kesan gwage terhadap gprice adalah yang tertinggi dan pada lat manakah mempunyai_ pekali terkecil? Sketch the estimated lag distribution. At what lag is the effect of gwage on gprice largest and which lag has che smallest coefficient? (4 markah/marks)‘BEEQ3013 EKONOMETRIK/ ECONOMETRICS NO, MATRIKIMATRIC NO. ii) Pada lat manakah statistik-t adalah kurang daripada dua? At which lags the t-statistics is less than two? (4 markah/marks) iii) Adakah nilai kecenderungan jangka-panjang (KJP) teranggar berbeza daripada satu? Jelaskan jawapan anda. Is estimated long-run propensity (LRP) value much different from one? Interpret your answer accordingly. (4 markab/marks){9E603013 EKONOMETRIK/ ECONOMETRICS NO. MATRIGMATRIC NO. —— iv) Apakah yang perlu anda lakukan untuk mendapatkan nilai rafat piawai daripada KIP secara langsung daripada contoh ini? What should you do to obtain the standard error of the LRP directly? (4 markah/marks) wanakah anda mahu menguji kesignifikanan secara bersama bagi enam lat gwage? Apakah terjadi kepada darjak kebebasan ujian yang anda lakukan? How would you test the joint significance of six more lags of gwage? What would happen with the degree of freedom from the test? (4 markah/marks)‘BEEQ3O13. EKONOMETRIK/ ECONOMETRICS NO. MATRIKIMATRIC NO.» SOALAN TIGA / QUESTION THREE (20 MARKAH/MARKS) a) Terangkan bagaimana anda menguji korelasi bersiri dalam mode! apabila diandaikan ralat dalam model teranggar wujud korelasi bersiri AR(1). Explain how do you test for serial correlation for the model when the errors in regression model is assumed to have an AR(I) serial correlation. (5 markah/marks) 6‘BEEQ3OI3 EKONOMETRIK/ ECONOMETRICS NO. MATRIKIA4ATRIC NO, d) Terangkan langkah penganggaran kuasa dua terkecil teritlak terlaksana (KDTT). Explain steps (o estimate feasible generalized least squares (GLS) (5 markah/marks)BEEQ3013 EXONOMETRIK/ ECONOMETRICS No. MATRIKIMATRIC NO, c) Model berikut merupakan model yang terdiri daripada pembolehubah yj, sebagai pembolehubah bersandar, xi sebagai pembolehubah penerang, wu, sebagai kesan tidak dicerap dan vie sebagai sebutan ralat. Jelaskan andaian yang perlu bagai menganggar model berbentuk pool, kesan tetap dan kesan rawak. The following model is referring the model with yj. as dependent variable, x as explainatory variable, uj as unobserved effect and ve as error term. Explain the assumption which is required when estimate the poot, fixed and random effects model. Vit = Go + aXe + UE + Vie (5 markah/marks)[BEEQ3O13 EKONOMETRIK/ ECONOMETRICS NO. MATRIK/MATRIC NO. d) Bincangkan perbezaan antara model kesan tetap (penganggar antara) dan model kuasa dua terkecil pembolehubah patung (KDTPP). Discuss the differences between the fixed effect model (within estimator) and least squares dummy variable model (LSDV). (5 markah/marks)BEEQIOLS EKONOMETRIK/ ECONOMETRICS No, MATRIK/MATRIC NO. SOALAN EMPAT / QUESTION FOUR (20 MARKAH/MARKS) a) Daripada data enam syarikat penerbangan bagi tempoh 15. tahun, hasil penganggaran model KDTPP daripada output Stata dipaparkan. From the data of six airline companies for the 15 year period, the following results of LSDV regression model from Stata output were obtained. req cost output fuel Lood 91 62 93 94 95 source ss a as number of obs 90 po FB, aly + 3938.79 moder | 119,76827@ 14.2205338 prob SF + 0.0000, residual | 292622072 92 .003612628 = 0.997% fat | 1ié.caoa9a @9 1.20199895 Root MSE = -06011, conf. Sta. Eee ey (988 Cone. Entorvaiy ourpue | 9192646 029901 30.76 0.000 -esoeize 9787968 fuer | 14374938 “o1sise, 27.47 9.000 3872503 14477922 read | 1.020396 20169 5.1 0.000, a71696 ~.6590963 et | -.0a70627 041995 -1,09 0.908 -.2545924 -eegea 2 | -11262976 ovs7281-1.69 0.098 -.2789728—.0223776 3 | 2989622 0500221 -5.82 0.000 395513 ~ 1964526 o 027494 0930089 «2.850.008 0919158 2691722 95 | -1063007 0238018 -216¢ 0.010 ~.1105443 0154697 _eens | 9.793004 262662237114 0.000 9.268399 10.31761 yang mana / where costi, = kos syarikat penerbangan (USS ribu) / cost of airlines company (USS thousand) outputje= hasil penumpang perbatuan (indeks keluaran) /revenue passenger mile (output index) fuelie = harga bahan api (USS per gelen) / fuel prices(USS per gallon) load, = faktor muatan (purata penggunaan kapasiti) / loading factor (average capacity utilizarion of the fleet) pembolehubah patung bagi setiap syarikat penerbangan / dummy variables for each airlines company. R-9:BEEQ3013 EKONOMETRIK/ ECONOMETRICS (NO. MATRIK/MATRIC NO. i) Berikan interpretasi pekali pembolehubah outputie, fuelie dan load;e, dan tunjukkan adakab pembotehubah ini signifikan mempengaruhi kos syarikat Give an interpretation for the coefficients of variables outputi,, fuelje and loadje, and show that whether these variables significantly affect the company cost. (5 markah/marks)BEEQ30L3 EKOOMETRIK/ ECONOMETRICS NO. MATRIK/MATRIC NO. ii) Berikan interpretasi bagi pekali pembolehubah patung. Apakah maklumat yang anda peroleh daripada hasil penganggaran pembolehubah patung ini? Give an interpretation for the coefficients of dummy variables. What information did you obtain from these dummy estimation? (5 markah/marks)b) |BEEQIO13 EKONOMETRIK/ ECONOMETRICS (NO, MATRIK/MATRIC NO Andaikan mode! berikut dianggar dan y, berkorelasi dengan uy, (Corr(yy, Us) # 0) tetapi Z, tidak berkorelasi dengan u;, (Corr(Z;,u;) = 0) dalam persamaan pertama, dan keadaan yang sama juga ditunjukkan bagi y, dan Z, dalam persamaan kedua. Assume that the following model is estimated and y, is correlated with ‘uj,(Corr(y, uj) # 0) but Z, is uncorrelated with uj, (Corr(Z;,u;) = 0) in the first equation, and so do for y2 and Z, in the second equation. Vi Mo + ate + Ot + Wi ay V2 = Ay $2, buy @ Apa terjadi jika anda menggangar persamaan pertama menggunakan kuasa dua terkecil (KDT)? Mengapa? What happen if you estimate the first equation using Ordinary Least Squares (OLS)? Why? (S markah/marks)BEEQ3013 EXONOMETRIK/ ECONOMETRICS NO MATRIKIMATRIC NO.-__ Tunjukkan bagaimana persamaan pertama dapat dianggar dengan menggunakan kuasa dua terkecil pangkat kedua (KDTP2} Show how the first equation can be estimated with two stage least squares (2SLS) (5 markah/marks)‘BEEQSOI3. EKONOMBTRIK/ ECONOMETRICS NO, MATRIK/MATRIC NO. SOALAN LIMA / QUESTION FIVE (20 MARKAH/ MARKS) a) Berdasarkan data sektor perumahan (X) di U.K antara tempoh tahun 1948 hingga 1984, Terence Mills telah memperolehi penganggaran berikut: Based on the U.K. private sector housing (X,) for the period 1948 10 1984, Terence Mills obtained the following regression results AX, = 31.03 — 0.188X,_4 se (12.50) (0.080) er (2.35) i) _Berdasarkan kepada keputusan regresi, adakah siti sektor perumahan pegun ataupun tidak pegun? Jelaskan jawapan anda. Based on the results, is the private housing series stationary or non- stationary? Explain your answer. (5 markah/marks) 15‘BEEQ3013 EKONOMETRIK/ ECONOMETRICS NO. MATRICMATRIC NO, Jika anda menggunakan ujian-r biasa, adakah nilai-r secara stati: signifikan? Berdasarkan jawapan ini, adakah anda membuat kesimpulan siri masa tersebut adalah pegun? Uf you were to use the usual t-test, is the observed t-value statistically significant? On this basis, would you have concluded that this time series is stationary? (5 markah/marks)‘BEEQ3013. EKONOMETRIK/ ECONOMETRICS NO. MATRIKIMATRIC NO. - b) Berdasarkan data tempoh tahun 1971-1 hingga 1988-IV bagi negara Kanada, keputusan hasil regresi diperolehi Based on the data for the period 1971-1 to 1988-IV for Canada, the following regression resulis were obtained: 1. InM1, = —10.2571 + 1.5975 In GDP, t= (12.9422) 25.8865) R= 0.9463 d= 0.3254 2. AlnM1, = 0.0095 + 0.5833A In GDP, t = (2.4957) (1.8958) R= 0.0885 d= 1.7399 19582 (-2.2521) R=O.1118 d= 1.4767 yang mana Ml = penawaran wang, MI GDP = Keluaran Dalam Negata Kasar dan kedua-duanya dinilaikan dengan billion dollar Kanada, where MI=MI money supply, GDP = Gross Domestic Product , and both measured in billion of Canadian dollars. i) Interpret regresi 1 dan 2 Interpret regression 1 and 2 (2 markah/marks)BEEQ2OI3 EXONOME?RIK/ ECONOMETRICS NO. A TRIK/MATRIC NO. ii) Adakah anda mengsyaki regresi | adalah palsu? Mengapa? Do you suspect that regression 1 is spurious? Why? (2 markah/marks) iii) Berdasarkan hasil regresi 3, adakah anda akan mengubah kenyataan anda dalam ii)? Mengapa? Based on the results of regression 3, would you change your conclusion in ii)? Why? (3 markah/marks)iv) ‘BEEQ3013 EKONOMETRIK/ ECONOMETRICS NO. MATRIK/MATRIC NO. Pertimbangkan pula hasil regresi di bawab: Let's consider the following regression: Aln M1, = 0.0084 + 0.73404 In GDP; ~ 0.08110 t (2.0496) (2.0636) (0.8537) R= 0.1066 d= 1.6697 Apakah yang dapat diberitahu oleh regresi tersebut? Adakah cegresi ini dapat membantu anda membuat keputusan sama ada regresi | adalah palsu ataupun tidak? What does this regression tell you? Does this help you decide if regression / is spurious or not? (3 markah/marks) SOALAN TAMAT END OF QUESTION 19(BEEQ3OI3 EKONOMETRIK/ ECONOMETRICS NO. 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