Department of Economics
Professor Dale J. Poirier
University of California, Irvine
December 6, 2005
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.
(20)
1. Let
be an estimator of a vector
2
. Suppose
is an inadmissible estimator of
2
with
respect to quadratic loss. Can
be a MSE consistent estimator of
2
? If so, then provide
an example. If not, why not?
2.
Let Y = [Y
1
, Y
2
, ..., Y
T
]
N
. Suppose Y
*
2
,
"
2
~ t
T
(
24
T
,
"
2
I
T
, 3).
(5)
(a)
Find the sampling distribution of
= (Y
1
+ Y
2
+ ... + Y
T
)/T.
(5)
(b)
Find the MSE of
as an estimator of
2
.
(5)
(c)
Find the sampling distribution of

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