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MMLU / Suppose that two researchers, using the same 3 variables and the same 250…

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question

Suppose that two researchers, using the same 3 variables and the same 250 observations on each variable, estimate a VAR. One estimates a VAR(6), while the other estimates a VAR(4). The determinants of the variance-covariance matrices of the residuals for each VAR are 0.0036 and 0.0049 respectively. What is the values of the test statistic for performing a test of whether the VAR(6) can be restricted to a VAR(4)?

choices

  1. 77.07
  2. 0.31
  3. 0.33
  4. 4.87

subject

econometrics

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