220B_mid08

220B_mid08 - –1– Econ 220B, Winter 2008 James Hamilton...

Info iconThis preview shows pages 1–2. Sign up to view the full content.

View Full Document Right Arrow Icon

Info iconThis preview has intentionally blurred sections. Sign up to view the full version.

View Full DocumentRight Arrow Icon
This is the end of the preview. Sign up to access the rest of the document.

Unformatted text preview: –1– Econ 220B, Winter 2008 James Hamilton Midterm Exam DIRECTIONS: No books or notes of any kind are allowed. Answer all questions on separate paper. 150 points are possible on this exam. 1.) (30 points) A colleague of yours is interested in estimating the value of β in a regression y t = x t β + ε t where x t and β are both scalars. The colleague wants to estimate β and test the null hypothesis that β = 0 . The colleague is concerned about heteroskedasticity of ε t and is considering three options. Option 1: Estimate β by OLS, use the OLS standard error to form a t test of the null hypothesis that β = 0 . Option 2: Use White heteroskedasticity- consistent standard errors. Option 3: Use feasible GLS. Your colleague is in a hurry and wants a very quick summary, not a long speech. a.) What are the main advantages and disadvantages of Option 2 relative to Option 1 in terms of the estimate of β and the validity of the t test?...
View Full Document

This note was uploaded on 03/02/2012 for the course ECON 220b taught by Professor Hamilton,j during the Spring '08 term at UCSD.

Page1 / 2

220B_mid08 - –1– Econ 220B, Winter 2008 James Hamilton...

This preview shows document pages 1 - 2. Sign up to view the full document.

View Full Document Right Arrow Icon
Ask a homework question - tutors are online