Economics 771
David Guilkey
Spring 2012
PROBLEM SET V
1. This problem uses the fertility data set. The dependent variable is the binary variable haschildren.
The explanatory variables are age, education, married, and rural.
a.
b.
c.
d.
Estimate the model
Economics 771
David Guilkey
Spring 2012
Problem Set IV
1. This problem using the tan91_small.dta STATA data set where the following model is
specified:
fpmessi Z i i1
ideali fpmessi X i i 2
The X variables are the age and grade of the mother, access to go
Economics 771
David Guilkey
Spring 2012
Problem Set III
1.
This problem uses the countries_2009.dta STATA data set. The file contains
data for 50 countries but there are a lot of missing values for literacy rate.
Estimate a model with GDP as a function of
Economics 771
David Guilkey
Spring 2012
Problem Set II
1.
This problem uses the national data set.
a. Calculate an annual rate of growth in employment, population, and the SP500.
Estimate a model with growth in employment as a function of these other
vari
Problem Set 1
Due January 27th
Economics 771
Prof. David Guilkey
TA. Fernando Chague
Spring 2012
Problem 1. Given the following model:
Yi
=
1 + Xi 2 +
i
(1) Suppose 1 = 0. Derive the OLS estimator for 2 .
(2) Suppose that 1 = 4 . Derive the OLS estimator
Economics 771
David Guilkey
[email protected]
Spring 2012
Book: A Guide to Modern Econometrics Third Edition (2008). Marno Verbeek.
Statistical Package: STATA Version 12 (most work can be done with STATA 11). STATA is
available in all the computer lab
Economics 771
David Guilkey
Spring 2011
Midterm Exam
1.
Given the following model:
Yi1 = Yi 2 + X i + i1
Yi 2 = Yi1 + X i + i 2
Where all terms are scalars.
a.
Derive the reduced form equations.
b.
Suppose that
c.
= 0 , show how the method of indirect le
Economics 771
David Guilkey
Spring 2010
Midterm Exam
1. Given the following model:
yi = 1 xt1 + 2 xt 2 + t
Where both xs are standardized (mean zero and variance 1) and uncorrelated with each
other (orthogonal). Suppose that we do not observe xt 2 . Inste
Economics 771
David Guilkey
Spring 2011
Final Exam
1. We have quarterly data on the yield on the 90 day Treasury for 1970 to 2010.
a. Provide an interpretation of the following STATA command and the accompanying
graph:
rate90,lags(20)
- 0 .5 0
Autocorre l
Economics 771
Spring 2010
David Guilkey
Final Exam
1.
Given the following model:
Yti X ti i ti
2
Where t=1,2,T and i=1,2,N. The Xs are non-stocastic and i ~ N (0, ) and
i ~ N (0, 2 ) .
a. Derive the TN x TN covariance matrix of the disturbance term.
b. S