Question

**Suppose we estimate a regression model containing a
constant term and two explanatory variables. The analysis is based
on a sample size of 25 and produces a Durbin Watson statistic
d=1.85.**

**a. Approximately, what is the correlation coefficient
between consecutive error terms?**

**b. If this model has an R2 = .75, what is the value of
the CALCULATED F statistic associated with a GLOBAL
test?**

**c. At the 1% level what is the CRITICAL value associated
with a global test of the model?**

Answer #1

Here **Durbin Watson statistic: d=1.85**

Now we know that

where is the correlation coefficient

So **1.85 =**

2) The relation between R^2 and F statistic is

Here we have two treatments

so df1 = 2-1 =1

we have 25 observations

so total degrees of freedom = 25 -1 = 24

and error degrees of freedom = df2 = 24-1 = 23

**R2 = .75**

**So**

**F = 69**

**So CALCULATED F statistic** = 69

3) At 1% level of significance critical value = 7.881 for df1=1 and df2 = 23

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