Econ220B_final_06

Econ220B_final_06 - 1 Econ 220B Final Exam Winter 2006...

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–1– Econ 220B Final Exam Winter 2006 DIRECTIONS: No books or notes of any kind are allowed. Answer all questions on separate paper. 250 points are possible on this exam 1.) (25 points) State (but do not prove) the Gauss-Markov Theorem. 2.) (80 points total) Consider the following model: y ( T × 1) = X ( T × k ) β ( k × 1) + u ( T × 1) E ( u | X )= 0 E ( uu 0 | X )= V ( α , X ) plim T 1 ( X 0 X )= Q where Q has rank k plim T 1 ( X 0 u )= 0 . You need not prove or derive any of the following statements; just give the expression and answer “yes” or “no”. a.) (30 points) Give the formula for the OLS estimate b .I s b unbiased? Is b consistent? b.) (30 points) Suppose that the value of α is known. Give the formula for the GLS estimate ˆ β GLS .I s ˆ β GLS biased? Is ˆ β GLS consistent? c.) (20 points) If instead α has to be estimated consistently from the data (so that ˆ α T p
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–2– Econ 220B 3.) (90 points total) Consider the following model:
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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.

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Econ220B_final_06 - 1 Econ 220B Final Exam Winter 2006...

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