C
LAVE
U
NICA
: __________________
PLEASE DO NOT WRITE YOUR NAME
.
Applied Econometrics Midterm
16
th
of March, 2006
This exam consists of
ten
short questions
(
worth two points each
)
and
four
long
questions
(
worth fifteen points each
)
, for a total of 80 points. You have 80 minutes
to answer all completely and clearly in the space provided.
Short Questions
1.
What does a
p

value
measure?
2.
What is the difference between an
M

estimator
and a
Z

estimator?
3. State the assumptions of the basic OLS model.
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What is
unobserved heterogeneity?
5. The true relationship between
y
i
and its two explanatory variables,
x
2
i
and
x
3
i
, is
y
i
=
1
+
2
!
x
2
i
"
2
!
x
3
i
+
e
i
. The variance in
x
2
i
is
1
; the variance in
x
3
i
is
4
; and their
covariance is
0
.
5
. If you had no data on
x
3
i
and estimated the model
y
i
=
!
1
+
2
"
x
2
i
+
!
e
i
by OLS, including only
x
2
i
, what would you expect as the
estimated value of
ˆ
2
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 Spring '08
 Staff
 Econometrics, Regression Analysis, OLS, explanatory variables, basic OLS model, OLS estimator. homoskedasticity

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