# Test_2_2004 - Department of Economics University of...

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Department of Economics Professor Dale J. Poirier University of California, Irvine December 7, 2004 FINAL EXAM ECON 220A Statistics and Econometrics I (open book) Directions : You must answer each of the following questions. Points (out of 100) are allocated as noted to the left of each question. Allocate your time according to these points. To receive any partial credit, you must show your work. 1. Let Y = [Y 1 , Y 2 , ..., Y T ] N . Suppose Y ~ t T ( 24 T , I T , 1), where 2 0 U is unknown. (10) (a) Are Y 1 , Y 2 , ..., Y T independent? (10) (b) Find the distribution of = ( Y 1 + Y 2 + ... + Y T )/T. (15) (c) Is a consistent estimator of
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Unformatted text preview: 2 ? (10) (d) How do you reconcile your results with Theorem 5.3.6? 2. Suppose Y t (t = 1, 2, . .., T) is a random sample from a N( : , F 2 ) distribution with F 2 known. (10) (a) Find the ML estimator of " / : 2 . (5) (b) Is and unbiased estimator of " ? (5) (c) Define / . Compare MSE( ) and MSE( ). (5) (d) Is the MVB estimator of " ? (5) (e) Is the UMVU estimator of " ? (5) (f) Are there any undesirable properties of ? (10) (g) Suggest an estimator of " which dominates in MSE. (10) (h) Define / , where Compare MSE( ) and MSE( )....
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• Fall '10
• DaleJ.POIRIER
• Economics, Econometrics, Mean squared error, Bias of an estimator, Final Exam ECON, Dale J. Poirier

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