Economics 5420
Stephen Cosslett
February 2015
Answers to Assignment 2
1. This is an example of a polynomial distributed lag model.
The original (unrestricted) model is
yt = 0 + 0 zt + 1 zt 1 + 2 zt 2 + 3 zt 3 + 4 zt 4 + ut
(a) Make the following substitut

Economics 5420
Stephen R. Cosslett
April 2015
Answers to Assignment 10
1. (a) The first equation must be the demand function, as it depends on income, which is
a common determinant of demand.
The second equation contains a variable, rainfall, that affects

Class Notes Econometrics II
- August 26 -1.
2.
3.
4.
Multiple Regression
Fit & Quality
Assumptions
Sampling Distribution & S.E.
HW1 STATA commands:
1. Load Data: use filename
a. Use menu
b. Doubleclick
c. Whatever
2. OLS: regress y x1 x2 or reg y x1 x2
Mu

Econometrics II
I. Regression with Cross-Sectional Data
Introduction
Multivariate regression
Inference, asymptotics, and prediction
Heteroskedasticity; Model specification
Chapter 1
Chapter 2-3
Chapter 4-6
Chapter 7-8
Chapter 1
Nonexperimental data are no

Econ 5420: Econometrics II
The Ohio State University
Autumn 2016
Jason R. Blevins
Homework 1
Due in class on September 7.
Review Chapters 19 of Wooldridge and complete the exercises below. (Textbook question
numbers are given in parenthesis for reference.

Econ 5420: Econometrics II
The Ohio State University
Autumn 2016
Jason R. Blevins
Homework 2
Due in class on September 21.
Read Sections 10.110.5 and 11.111.3 of Wooldridge and complete the exercises below.
Problem 1. (Wooldridge 10.2) Let gGDPt denote th

Econ 5420: Econometrics II
The Ohio State University
Fall 2012
Jason R. Blevins
Final Exam (Solutions)
Name:
This final exam is worth a total of 35 points, with three bonus points, so it is possible to earn up
to 38 points. Questions are printed on the fr

Econ 642: Applied Economic Models and Forecasting
The Ohio State University
Spring 2012
Jason R. Blevins
Final Exam (Solutions)
Name:
This final exam is worth a total of 40 points. There are 20 questions worth two points each. To
receive partial credit, b

Economics 5420
Stephen Cosslett
April 2015
Answers to Assignment 12
1. (a) Start by substituting for ut 1 in the AR(1) model, following the hint:
ut = ( yt 1 0 1 zt 2 ) + vt
Then substitute this into the regression equation for yt , multiply out the brack

Economics 5420
Stephen Cosslett
April 2015
Answers to Assignment 9
1. (a) Students may have unobserved characteristics that affect both their exam scores
and their class attendance. For example, students who are not well motivated, or who
have a high pref

Economics 5420
Stephen Cosslett
January 2015
Answers to Assignment 3
1. (a) A detrended time series is one from which the linear trend component has been
removed (subtracted out).
To get the linear trend component, estimate the regression
yt = 0 + 1 t + u

Economics 5420
Stephen R. Cosslett
February 2015
Answers to Assignment 5
1. (a) If the error terms are serially correlated, the main problem with OLS estimation is
that the standard errors (or variances) of the parameter estimates are not consistent (or a

Economics 5420
Stephen Cosslett
February 2015
Answers to Assignment 4
1. (a) If yt = yt 1 + et , and if y 0 = 0 , then by recursion
yt = e1 + e2 + + et 1 + et
(In other words, if we start at time zero, then at time t we will have taken t random steps.)
Th

Economics 5420
Stephen R. Cosslett
January 2015
Answers to Assignment 1
1. (a) Assumption MLR.2 was that we have a random sample, which implies that all the
observations are independent.
In time series data, however, what happens in one period depends on

Economics 5420
Stephen R. Cosslett
February 2015
Answers to Assignment 6
1. (a) The Cochrane-Orcutt estimator involves the following steps:
o Estimate the regression equation by OLS, and compute the residuals, say u t .
o Run a regression of residuals on

Economics 5420
Stephen Cosslett
March 2015
Answers to Assignment 8
1. (a) Fixed effects.
Compute the individual-specific means
yi =
1 T
yi,t ,
T t =1
1 T
xi,t
T t =1
(where T is the number of time periods in the sample).
Compute new variables by subtra

Economics 5420
Stephen R. Cosslett
March 2015
Answers to Assignment 7
1. (a) Lets say FL is a binary (or dummy) variable equal to one if a person lives in
Florida, and zero otherwise.
Lets say y90 is a year dummy variable for 1990.
[Of course, you can cho

Economics 5420
Stephen R. Cosslett
April 2015
Answers to Assignment 11
1. (a) Order condition (in a simultaneous equation system)
There are several ways of expressing this:
The number of excluded exogenous variables (exogenous variables that are in the
s

Econ 5420: Econometrics II
The Ohio State University
Autumn 2016
Jason R. Blevins
Homework 1 (Solutions)
Due in class on September 7.
Review Chapters 19 of Wooldridge and complete the exercises below. (Textbook question
numbers are given in parenthesis fo