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Econ4261_Hw3

# Econ4261_Hw3 - ECON 4261 Introduction to Econometrics Fall...

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Unformatted text preview: ECON 4261: Introduction to Econometrics Fall 2009 Problem Set 3 Due: Nov 17, 2009 Exercise 1 Given the following OLS estimates, C t = constant + 0 . 92 Y t + ˆ u 1 t C t = constant + 0 . 84 C t- 1 + ˆ u 2 t C t- 1 = constant + 0 . 78 Y t + ˆ u 3 t Y t = constant + 0 . 55 C t- 1 + ˆ u 4 t Calculate the OLS estimates of β 2 and β 3 in C t = β 1 + β 2 Y t + β 3 C t- 1 + u t Exercise 2 Prove that y y where y = Ay with A = I- 1 n ii , is the RSS when Y is regressed on x = i . ( i is a column vector of ones) Show also that the estimated coefficient of the regression is ¯ Y . Exercise 3 The following regression equation is estimated as a production function for Y: lnY = 1 . 37 + 0 . 632 lnK + 0 . 452 lnL (0 . 257) (0 . 219) R 2 = 0 . 98 cov ( ˆ β K , ˆ β L ) = 0 . 055 where standard errors are given in parentheses. Test the following hypothesis: (i) The capital and labor elasticities of output are identical....
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Econ4261_Hw3 - ECON 4261 Introduction to Econometrics Fall...

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