725_mid-term exam_1_an_2010

# 725_mid-term exam_1_an_2010 - ECON 725 2010 SPRING KEY FOR...

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1 | ECN 725 ECON 725 KEY FOR MID-TERM EXAM S.C. AHN 2010 SPRING Q1. 1) DNA. If y and x are jointly normal, then, projection = conditional mean. Also, if strong or weak ideal conditions are satisfied. 2) A 3) DNA. When 1 t , the regression using the corresponding variable yields a higher adjusted R-square. This means that the regression omitting the variable increases the value of the adjusted R-square. 4) DNA, It is most efficient if it is unbiased. 5) A. 6) DNA. The value of the F-statistic depends on T and k , as well as 2 R . Q2. (1) 2 3 1 ˆ / ( ) 520 / 26 20;var( ) 20 0.01 0.2; (0.9 1) / 0.2 20 s SSE T k t   (2) 2 520 520 0.13 1 1 597.7 0.87 597.7 520 77.7 SSE R SST SST SST SSR SST SSE   . (3)  1, 0, 4 , 0; ˆˆ 4 3.6 0.4; var( ) 3.8; 0.4 0.2 3.8 Rr R R t    Q3. (1) Let ** 1** * * * () , ; ; 0 X yu XX XyX y u     1* * 1 ( ) oo X XX u X X R R X u   1 ( ) EX X R R X E u .

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725_mid-term exam_1_an_2010 - ECON 725 2010 SPRING KEY FOR...

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