tutorial6 - Week6TutorialExercises

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

View Full Document Right Arrow Icon
Week 6 Tutorial Exercises Review Questions (these may or may not be discussed in tutorial classes) How would you test hypotheses about a single linear combination of parameters? We may re parameterise the regression model to isolate the “single linear combination”. Then the OLS on the re parameterised model will provide the estimate of the “single linear combination” and the related standard error. See the example in the textbook and lecture slides What are exclusion restrictions for a regression model? Exclusion restrictions are the null hypothesis that a group of x variables have zero coefficients in the regression model. What are restricted and unrestricted models? When the null hypothesis is a set of restrictions on the parameters, the regression under the null is called the restricted model, while the regression under the alternative (which simply states that the null is false) is called the unrestricted model. How do you compute the F statistic, given that you have SSRs? Clearly, the general F stat is based on the relative difference between the SSRs under the restricted model and unrestricted model: F = [(SSR r – SSR ur )/q]/[SSR ur /(n k 1)], where you should be able to explain the meanings of various symbols. What are general linear restrictions on parameters? These are linear equations on the parameters. For example, β 1 – 2 β 2 + 3 β 3 = 0. What is the test for the overall significance of a regression? This is the F test for the null hypothesis that all the coefficients of x variables are zero. How would you report your regression results? See the guidelines in Section 4.6 of the textbook. Why would you care about the asymptotic properties of the OLS estimators? When MLR.6 does not hold, the finite sample distribution of the OLS estimators is not available. For reasonably large samples (large n), we use the asymptotic distribution of the OLS estimators, which is known from studying the asymptotic properties, to approximate the finite sample distribution of the OLS estimators, which is unknown. Comparing the inference procedures in Chapter 5 with those in Chapter 4, can you list the similarities and differences? It is beneficial to make a list by yourself. Under MLR.1 MLR.5, the OLS estimators are consistent, asymptotically normal, and asymptotically efficient. Try to explain these properties in your own words. This is really a test on your understanding of these notions in econometrics.
Background image of page 1

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

View Full DocumentRight Arrow Icon
Image of page 2
This is the end of the preview. Sign up to access the rest of the document.

This note was uploaded on 02/29/2012 for the course ECON 2206 taught by Professor Yang during the One '11 term at University of New South Wales.

Page1 / 5

tutorial6 - Week6TutorialExercises

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