# Hw 1 Answers - Economics 120C Professor Yongil Jeon Winter...

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Economics 120C Name: _________________________ Professor Yongil Jeon Winter 2009 Student ID#: _________________________ Answer Key to Homework #1 – Winter 2009, Econ 120C (Midterm Exam, Summer 2008-Session 2, Econ 120C) Answer all questions on separate paper. This problem set should be handed in to Professor Jeon at the beginning of your class on Wednesday, February 4th, 2009 . Problem sets may not be handed in once solutions have been distributed. Please write down your name and PID clearly. Good luck! 1) (3 points) The GLS assumptions include all of the following, with the exception of a. the X i are fixed in repeated samples. b. X i and u i have nonzero finite fourth moments. c. E ( UU | X ) = Ω ( X ), where ( X ) is n × n matrix-valued that can depend on X . d. E ( U | X ) = 0 n . Answer : a 2) (3 points) The assumption that X has full column rank implies that a. the number of observations equals the number of regressors. b. binary variables are absent from the list of regressors. c. there is no perfect multicollinearity. d. none of the regressors appear in natural logarithm form. Answer : c 3) (3 points) The OLS estimator a. has the multivariate normal asymptotic distribution in large samples. b. is t -distributed. c. has the multivariate normal distribution regardless of the sample size. d. is F -distributed. Answer : a 4) (3 points) The leading example of sampling schemes in econometrics that do not result in independent observations is a. cross-sectional data. b. experimental data. c. the Current Population Survey.

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2 Answer to hw#1, ECON 120C, Winter 2009 d. when the data are sampled over time for the same entity. Answer : d 5) (3 points) Finite-sample distributions of the OLS estimator and t -statistics are complicated, unless a. the regressors are all normally distributed. b. the regression errors are homoskedastic and normally distributed, conditional on 1 ,..., n XX . c. the Gauss-Markov Theorem applies. d. the regressor is also endogenous. Answer : b 6) (10 points) Suppose that Y and X are related by the regression Y=1.0 +2.0X+u. A researcher has observations on Y and X, where 02 0 , X where the conditional variance is var( | ) 1 ii uX x == for 01 0 , x and var( | ) 16 = = for 10 20 x <≤ . Instead of using WLS, the researcher decides to compute the OLS estimator using only the observations for which 0 , x then using only the observations for which 10 x > , then average the two OLS of estimators. Is this more efficient than WLS?
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Hw 1 Answers - Economics 120C Professor Yongil Jeon Winter...

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