Econometric take home APPS_Part_30

Econometric take home APPS_Part_30 - Calc ; i = 0 ; gamma =...

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Calc ; i = 0 ; gamma = -1 $ Exec ; Proc=LM(gamma) ; n = 1000 $ samp;1-1000$ create;LMv=lmi $ create;reject=lmv>3.84$ Calc ; List ; Type1 = xbr(reject) ; pwr = 1-Type1 $ ?**************************************************************** ? Procedure studies the Wald statistic ?**************************************************************** Proc = Wald(c) $ Create ; if(type=1)Eps = Rnn(0,1) ? Standard normal distribution ; if(type=2)vi=exp(.2*xi) ? eps = vi*rnn(0,1) ? Heteroscedasticity ; if(type=3)eps= Rnt(5) ? Nonnormal distribution ; y = 0 + xi + c*zi +eps $ Matrix ; b0=XXinv*X'y $ Create ; e0=y-X'b0$ Calc ; ss0 = e0'e0/(47) ; v0 = ss0*xxinv(3,3) ; wald0=(b0(3))^2/v0 ; i=i+1 $ Matrix ; Waldi(i)=Wald0 $ EndProc $ ? Set the values for the simulation Calc ; i = 0 ; gamma = 0 ; type=1 $ Sample ; 1-50 $ Exec ; Proc=Wald(gamma) ; n = 1000 $ samp;1-1000$ create;Waldv=Waldi $ create;reject=Waldv > 3.84$ Calc ; List ; Type1 = xbr(reject) ; pwr = 1-Type1 $ To carry out the simulation, execute the procedure for different values of “gamma” and “type.” Summarize the results with a table or plot of the rejection probabilities as a function of gamma. 119
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Chapter 18 Bayesian Estimation and Inference Exercise a. The likelihood function is L( y | λ ) = 11 1 exp( ) 1 (|) e x p ( ) (1 ) i ii y nn n y i i fy n yy Σ == = −λ λ λ= = −λλ Γ+ ∏∏ . ) b. The posterior is 1 1 1 0 ( ,. .., | ) ( ) ( | ,..., ) ( ,. .., | ) ( ) n n n py y p y y p d λ λ λ λλ . The product of factorials will fall out. This leaves () 1 0 1 1 0 1 1 0 exp( ) (1/ ) ( | ,..., ) exp( ) (1/ ) exp( ) exp( ) exp( ) exp( ) y n y y y ny ny n y nd n n λ λ λ = λ = λ = Σ Σ Σ Σ 1 exp( ) . ny ny ny Γ where we have used the gamma integral at the last step. The posterior defines a two parameter gamma distribution, G(n, ny ). c. The estimator of λ is the mean of the posterior. There is no need to do the integration. This falls simply out of the posterior density, E[ λ | y ] = ny / n = y .
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This note was uploaded on 11/13/2011 for the course ECE 4105 taught by Professor Dr.fang during the Spring '10 term at University of Florida.

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Econometric take home APPS_Part_30 - Calc ; i = 0 ; gamma =...

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