This preview shows pages 1–2. Sign up to view the full content.
ECONOMETRICS I
Assignment 1
Professor William Greene
Phone: 212.998.0876
Office: KMC
790
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 (XY) plot with ROOMS on the horizontal axis and FUELBILL on the vertical axis. What
This preview has intentionally blurred sections. Sign up to view the full version.
View Full Document
This is the end of the preview. Sign up
to
access the rest of the document.
 Fall '11
 WilliamGreene

Click to edit the document details