Problem1

Problem1 - Department of Economics ECONOMETRICS I...

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ECONOMETRICS I Assignment 1 Professor William Greene Phone: 212.998.0876 Office: KMC 7-90 Home page: www.stern.nyu.edu/~wgreene Email: wgreene@stern.nyu.edu Course web page: www.stern.nyu.edu/~wgreene/Econometrics/Econometrics.htm Part I. Paradigm. Find an article in any journal that uses the Bayesian methodology as the platform for estimation. (Journals to consider include Journal of Econometrics, Journal of Applied Econometrics, Review of Economics and Statistics, Econometrica, Journal of Productivity Analysis, Journal of Finance, Journal of Marketing Research, American Political Science Review, American Economic Review, Applied Economics, Sociological Methods, International Economic Review, Economics Letters, Journal of Political Economy, Review of Economic Studies, Quarterly Journal of Economics , etc.) In no more than 100 words, describe the study. If the author specifically motivates the Bayesian methodology in their introduction, include a sentence that summarizes their motivation. Part II. Distribution Theory The random variables y,x,z have a multivariate normal distribution with mean vector µ′ = [1,2,4] and covariance matrix Σ = 231 352 126    . Compute the slope and intercept in the conditional mean function E[ y | x ]. Compute the two slopes and the intercept in the conditional mean function E[ y | x,z ]. Is the slope on x the same in the two functions? Explain. Compute the conditional variance Var[ y | x ]. Compute the squared correlation between y and x . Compute the squared correlation between y and E[y| x ]. Compute the squared correlation between y and E[ y | x,z ]. Part III. Regression (You will need software to do this exercise. You may use any computer program that you wish. The computations are straightforward.) The data file (which you should download) http://www.stern.nyu.edu/~wgreene/Econometrics/fuelbills.csv is an Excel CSV file that contains data on fuelbills and number of rooms for 144 homes. Produce a simple scatter (X-Y) plot with ROOMS on the horizontal axis and FUELBILL on the vertical axis. What
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Problem1 - Department of Economics ECONOMETRICS I...

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