220B_mid12_answers

220B_mid12_answers - Answer key for the midterm in 2012 yt...

Info iconThis preview shows page 1. Sign up to view the full content.

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

Unformatted text preview: Answer key for the midterm in 2012 yt 1, zt, zt 1a.) x t ,, 1 1 T T xtxt xtyt t1 t1 T 2 T 1 3 yt 2 xt t1 b.) Let R 0, 1, 1 and use s2R 1 xtxt . R Treat as Student t with T 3 degrees of freedom. This is only an approximation since x t includes the lagged value of y. c.) SSR U is T 3 times 2 above. To calculate SSR R estimate yt 1 zt zt 1 yt t and treat SSR R SSR U SSR U / T 3 as F 1, T 3 . The F statistic in (c) is exactly equal to the square of the t statistic in (b). 2a.) S 1ij . b.) EE 2 t |x t xtxt E 2 2 x 1t x t x t b where row i column j element of 1 xtxt xtxt T where z 1 L Tb xtyt 1 xt 1 t Q 1z xtxt 1/2 T xt N 0, S . Thus L Tb N 0, Q 1 SQ 1 c.) xtxt GLS 1 xt x 1t1/2 x t yt x 1t1/2 y t xtyt . t is given by 3a.) 1 T 1 1 y 2t 1 1 T 1 y 2t y 2t T 1 y 2t 2 1 T T 1 y 2t T T 1 1 1 1 y 2t y 1t y 1t y 2t y 1t 1 1 p E y 2t E y 2t E E y 1t y 2t 2 E y 2t y 1t 1 1 2 1 2 22 2 2 1 2 21 / 22 21 2 1 21 / 22 0 0 b.) 0 and 0 are the values for which E y 1t y 2t 2 are smallest, that is, they are the population parameters that would provide the best linear predictor of y 1t given y 2t . ...
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.

Ask a homework question - tutors are online