Econometrics Exam 2
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This exam consists of
ten
short questions
(
worth four points apiece
)
and
five
long
questions
(
worth twelve points each
)
, for a total of 100 points. You have 120
minutes to answer all completely and clearly in the space provided.
Short Questions
1. When working with panel data
(
in the standard model
Y
it
=
X
it
!
+
c
i
+
e
it
)
, how
would you check for endogeneity
(
correlation between
X
i
and
e
i
)
?
2. What is the advantage of using
“
seemingly unrelated regression
”
instead of OLS?
3. What can you interpret from the estimated coefficients of a probit or logit model?
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View Full Document4. You have a system of equations in which two variables affect each other: you
believe that health determines income, but income also affects health. What would
you need in order to
“
identify
”
the effect of health on income?
5. Using
T
years of panel data, you wish to estimate the model
Y
it
=
X
it
!
+
c
i
+
u
it
.
You are comfortable making the assumption that
E
[
u
it

X
i
1
,
X
i
2
,
…
,
X
it
]
=
0
. How
would you estimate
?
6. When would you use
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 Spring '08
 Staff
 Econometrics, Regression Analysis, Maximum likelihood, Estimation theory, explanatory variables Xi

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