EC351_F10_Final

# EC351_F10_Final - Name EC 351 001 Econometrics I Final Exam...

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1 Name: _____________________________________________ EC 351 – 001: Econometrics I Final Exam December 9, 2010 Instructions: Provide all answers on this exam paper. You must show all work to receive credit. You are allowed to use your notes on this exam, provided that they are written in your own handwriting. Make your final answer clear in order to receive full credit. Allocate your time appropriately across all questions and make sure to finish within the time limit of 3 hours. Question values are shown beside each question as a percentage of the total exam grade.

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2 1. (10%) X and Z are two independently distributed standard normal random variables. Let 3. YX Z = + Find the correlation between X and Y.
3 2. (8%) In a sample of 183 observations, compare the following regressions:   2 0 11 2 2 33 0.786 Y X X Xu R ββ β = ++ + + =   2 0 0.745 Y X R = + = 2 0 0.488 Y R = = 2 0 0.319 Y uR = += Which model do you prefer?

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4 3. (10%) Consider the simple linear regression model 01 i ii Y Xu ββ = ++ , assuming that Least Squares Assumptions #1-3 hold and assuming homoskedasticity. What is the variance of the first observation of the dependent variable, 1 Y ?
5 4. (8%) The following regression output is based on the SAS defaults. What parts of the output would change if, instead of the SAS defaults, we performed a one-sided test?

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## This note was uploaded on 09/18/2011 for the course ECON 351 taught by Professor Hammond during the Fall '10 term at N.C. State.

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EC351_F10_Final - Name EC 351 001 Econometrics I Final Exam...

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