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Assignment08-2010

# Assignment08-2010 - α and β using a method oF moments...

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AEB 6571 - Econometric Methods I Assignment 8 Charles B. Moss October 22, 2010 1. Using the X data in the spreadsheet ”Assignment 8.xls” a) Compute the 95% confidence interval for a small sample assum- ing that X is distributed normally with an unknown mean and variance. b) Compute the 95% confidence interval for a large sample assum- ing that X is distributed normally with an unknown mean and variance (hint, use the concentrated normal likelihood function). c) In each case, test the hypothesis that the mean is equal to 5.3. 2. Using the Y data in the spreadsheet ”Assignment 8.xls” a) Estimate the values of
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Unformatted text preview: α and β using a method oF moments ap-proach (use both exact and overidentifed estimators). a) Compute the 95% confdence level using the central limit theorem and test the hypothesis that the mean is equal to 5.3. b) Given that the distribution is a Gamma distribution, construct a maximum likelihood estimate oF α and β . Construct a 95% confdence interval For each parameter. c) Test the hypothesis that the mean oF the Gamma distribution is equal to 5.3 (i.e., impose the restriction that αβ = 5 . 3 this will give you a restricted likelihood Function). 1...
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