220B_mid09_answers

220B_mid09_answers - Answer key for the midterm in 2009 1....

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Unformatted text preview: Answer key for the midterm in 2009 1. a.) * OLS X U X " 1 X U y b.) * GLS X U V " 1 X " 1 X U V " 1 y c.) R OLS 2 u R GLS 2 because * OLS * arg min ! t 1 T y t " x t U * 2 . d.) The appropriate test statistic is m " 1 R * GLS " r U s 2 R X U V " 1 X " 1 R U " 1 R * GLS " r , where s 2 y " X * GLS U V " 1 y " X * GLS T " k Under the null hypothesis, this statistic follows the exact F m , T " k distribution. 2. a.) b t * !...
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220B_mid09_answers - Answer key for the midterm in 2009 1....

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