metricsexam1s08sol

metricsexam1s08sol - Econometrics Exam 1 By writing your...

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Unformatted text preview: Econometrics Exam 1 By writing your PID below, you are indicating March 4, 2008 your intention to abide by the honor pledge: PID: This exam consists of ten short questions ( worth four points each ) and three long questions ( worth twelve points each, unless noted otherwise ) and one bonus question ( worth two points ) , for a total of 90 points. You have 75 minutes to answer all completely and clearly in the space provided. Please do not use any electronic devices. Short Questions 1. Under what circumstances does classical measurement error ( in the explanatory variables ) have no effect on the OLS estimator? When the variable is irrelevant. In other words, if ! = , then E [ ! ] = var( x ) / var( x ) + var( m ) ( ) " ! = var( x ) / var( x ) + var( m ) ( ) " = = ! . 2. What is the objective function of a weighted least squares estimator ( that is, what does it minimize or maximize? ) , and under what circumstances is WLS unbiased? A weighted least squares estimator solves min ! i = 1 N w i e i 2 , where w i is the weight assigned to individual i. A weighted least squares estimator is unbiased when the unobservable e i is independent of x i ; that is, E [ e i | x i ] = ....
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metricsexam1s08sol - Econometrics Exam 1 By writing your...

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