UBEQ2023 Econometrics Jan 2022/2023

UNIVERSITI TUNKU ABDUL RAHMAN

FACULTY OF BUSINESS AND FINANCE
ACADEMIC YEAR 2022/2023

TUTORIAL 1 & 2 (Questions & Answers)

Discussion Questions:
1. If you have monthly data over a number of years, how many dummy variables will
you introduce to test the following hypothesis:
a. All the 12 months of the year exhibit seasonal patterns
b. Only February, April, June, August, October and December exhibit seasonal
patterns.

2. In his study on the labour hours spent by the FDIC (Federal Deposit Insurance
Corporation) on 91 bank examinations, R.J. Miller estimated the following function:
¿^=2. 410+0.3674 ln X +0.2217 ln X +0.0803 ln X −0. 1755D
1 2 3 1
lnY ¿ (0.0477) (0.0628)(0.0287)(0.2905)
+0.2799D2 +0.5634 D3−0.2572D 4
(0.1044)(0.1657) (0.0787)
R2=0.7660
where Y = FDIC examiner labour hours
X1 = total asset of bank
X2 = total number of offices in bank
X3 = ratio of classified loans to total loans for bank
D1 = 1 if management rating was “good”
D2 = 1 if management rating was “fair”
D3 = 1 if management rating was “satisfactory”
D4 = 1 if examination was conducted jointly with the state

The figures in parentheses are the estimated standard errors.

a. Interpret the estimates of X1, X2, and X3.

b. How would you interpret the dummy coeffficients?

3. We obtained the following estimated equation:

2
¿^=3840.83−0.163totwrk−11.71educ−8.70age+0.128age +87.75male
sleep ¿(5.11) (0.018) (5.86)(11.21) (4.08)(4.33)
¿
2 2
n=706,R =0.123,R =0.117
The variable sleep is total minutes per week spent sleeping at night, totwrk is total
weekly minutes spent working, educ and age are measured in years, and male is a
gender dummy. The figures in parentheses are the t-statistics values.
1
UBEQ2023 Econometrics Jan 2022/2023

a. Interpret the dummy coefficient of 87.78.

b. All other factors being equal, is there evidence that men sleep more than women?