
Study with the several resources on Docsity
Earn points by helping other students or get them with a premium plan
Prepare for your exams
Study with the several resources on Docsity
Earn points to download
Earn points by helping other students or get them with a premium plan
Community
Ask the community for help and clear up your study doubts
Discover the best universities in your country according to Docsity users
Free resources
Download our free guides on studying techniques, anxiety management strategies, and thesis advice from Docsity tutors
Material Type: Exam; Professor: Blonigen; Class: Sem Core Micro; Subject: Economics; University: University of Oregon; Term: Winter 2002;
Typology: Exams
1 / 1
This page cannot be seen from the preview
Don't miss anything!
Directions: Answer the questions below. Please use only one side of the paper, and write as clear and concise as possible. Be sure to show the relevant formulas for assumptions, estimators, variances, and test statistics where appropriate. 1.Consider the following regression model, yi^ xi^ ^ ui , i = 1,…, N and xi is (1xK). (a) Assume that { yi , xi } are random variables. State the conditions under which OLS is a consistent estimator of the unknown parameters, . What additional assumption is needed for OLS to be the efficient estimator in its class? (b) Discuss briefly the problems and at least two potential solutions to the presence of heteroskedasticity in the linear model above. (c) In the model above suppose that there is only one regressor (i.e. K=1) and that we observe xi xi e i
where
x i (^) is the true value. What are the implications for under OLS? Suppose we seek out an instrumental variable, zi. What properties must zi possess in order for this to help us out? Suppose that there are multiple instruments—how do we test their quality? (d) Again, suppose that there is one regressor but that it is suspected of being determined simultaneously with yi. Describe the variable addition test version of the Hausman Test of the null that xi is exogenous.