Rauli Susmel
FINA 8379
Fall 2009
Econometrics I: Midterm 1
Reminder: This is an open book exam. Strive for brevity and precision. Justify all your answer. Show your
work. Do not feel you must take all two hours for this exam.
1) A variable Y is generated
Rauli Susmel
FINA 8379
Fall 2010
Econometrics I: Midterm 2
Reminder: This is an open book exam. Strive for brevity and precision. Show your work. Do not feel
you must take all two hours for this exam.
1. Suppose that you have T independent observations on
Rauli Susmel
FINA 8379
Fall 2010
Econometrics I: Midterm 3
Reminder: This is an open book exam. Strive for brevity and precision. Show your work. Do not
feel you must take all three hours for this exam. After you finish the exam, please do the Teaching
Ev
Rauli Susmel
FINA 8379
Fall 2010
Econometrics I: Midterm 1
Reminder: This is an open book exam. Strive for brevity and precision. Justify all your answer. Show your
work. Do not feel you must take all two hours for this exam.
1) The regression model of in
Rauli Susmel
FINA 8379
Fall 2008
Econometrics I: Final
Reminder: This is a closed book exam. Strive for brevity and precision. Show your work. Do not
feel you must take all two hours for this exam.
All questions are worth 30 points.
1) Explain what is cor
Rauli Susmel
FINA 8379
Fall 2009
Econometrics I: Final
Reminder: This is a closed book exam. Strive for brevity and precision. Show your work. Do not
feel you must take all two hours for this exam.
All questions are worth 30 points.
1. True or False. Just
Rauli Susmel
FINA 8379
Fall 2008
Econometrics I: Midterm 1
Reminder: This is an open book exam. Strive for brevity and precision. Show your work. Do not
feel you must take all two hours for this exam.
Part I. Book Exercises (20 pts.)
Do exercises 6.7 (R2
Rauli Susmel
FINA 8379
Fall 2008
Econometrics I: Midterm 2
Reminder: This is an open book exam. Strive for brevity and precision. Show your work. Do not feel
you must take all two hours for this exam.
Part I. Book Exercises (10 pts.)
Exercise 11.7
Suppose
Rauli Susmel
FINA 8379
Fall 2008
Econometrics I: Midterm 3
Reminder: This is an open book exam. Strive for brevity and precision. Show your work. Do not
feel you must take all three hours for this exam. After you finish the exam, please do the Teaching
Ev
Rauli Susmel
FINA 8379
Fall 2009
Econometrics I: Midterm 2
Reminder: This is an open book exam. Strive for brevity and precision. Show your work. Do not feel
you must take all two hours for this exam.
1. Verify the following differential equation which ap
Rauli Susmel
FINA 8379
Fall 2010
Econometrics I: Midterm 1
Reminder: This is an open book exam. Strive for brevity and precision. Justify all your answer. Show your
work. Do not feel you must take all two hours for this exam.
1) The regression model of in
Rauli Susmel
FINA 8379
Fall 2010
Econometrics I: Midterm 2
Reminder: This is an open book exam. Strive for brevity and precision. Show your work. Do not feel
you must take all two hours for this exam.
1. Suppose that you have T independent observations on
Rauli Susmel
FINA 8379
Fall 2010
Econometrics I: Midterm 3
Reminder: This is an open book exam. Strive for brevity and precision. Show your work. Do not
feel you must take all three hours for this exam. After you finish the exam, please do the Teaching
Ev
Rauli Susmel
FINA 8379
Fall 2009
Econometrics I: Midterm 1
Reminder: This is an open book exam. Strive for brevity and precision. Justify all your answer. Show your
work. Do not feel you must take all two hours for this exam.
1) A variable Y is generated
Rauli Susmel
FINA 8379
Fall 2009
Econometrics I: Midterm 2
Reminder: This is an open book exam. Strive for brevity and precision. Show your work. Do not feel
you must take all two hours for this exam.
1. Verify the following differential equation which ap
Rauli Susmel
FINA 8379
Fall 2009
Econometrics I: Midterm 3
Reminder: This is an open book exam. Strive for brevity and precision. Show your work. Do not feel you
must take all three hours for this exam. After you finish the exam, please do the Teaching Ev
Rauli Susmel
Econometrics 1
Homework 1
With this exercise, you will generate a sampling distribution for b.
1. First generate y.
(1) Generate X (to be treated as numbers). Say X ~ N(2,4)
(2) Generate ~ N(0,1)
(3) Generate y = .4 X +
(4) Generate b = (X'X
Rauli Susmel
Econometrics 1
Homework 6
1. Suppose the regression model is yi = + i, where E[i|xi] = 0, but Var[i|xi] = 2xi2, xi > 0.
(a) Given a sample of observations on y i and xi, what is the most efficient estimator of ? What is
its variance?
(b) What
Econometrics I: Final
Reminder: This is an open book exam. Strive for brevity and precision. Show your work. Do not
feel you must take all two hours for this exam.
1. Consider the following regression model: y = x + , subject to R=q,
where y and e are Nx1
Homework 2
1. Suppose b is the least squares coefficient vector in the regression of y on X and c is
any other Kx1 vector. Prove that the difference in the two sums of squared residuals is
(y-Xc)'(y-Xc) - (y-Xb)'(y-Xb) = (c - b)'X'X(c - b).
Prove that thi
Homework 7
1. Unbalanced design for random effects. Suppose that the random effects model is to be estimated
with a panel in which the groups have different numbers of observations. Let T i be the number of
observations in group i.
(a) Show that the poole
Rauli Susmel
Econometrics 1
Homework 3
1. Prove the result that the restricted least squares estimator never has a larger variance matrix
than the unrestricted least squares estimator.
The variance of the restricted least squares estimator is given in the
Rauli Susmel
FINA 8379
Econometrics I: Final
Reminder: This is a closed book exam. Strive for brevity and precision. Show your work. Do not
feel you must take all two hours for this exam.
All questions are worth 30 points.
1) Explain what is correct, mist
Rauli Susmel
FINA 8379
Fall 2009
Econometrics I: Final
Reminder: This is a closed book exam. Strive for brevity and precision. Show your work. Do not
feel you must take all two hours for this exam.
All questions are worth 30 points.
1. True or False. Just
Rauli Susmel
FINA 8379
Fall 2010
Econometrics I: Final
Reminder: This is an open book exam. Strive for brevity and precision. Show your work. Do not
feel you must take all two hours for this exam.
1. Consider the following regression model: y = x + , subj
Rauli Susmel
FINA 8379
Fall 2008
Econometrics I: Midterm 3
Reminder: This is an open book exam. Strive for brevity and precision. Show your work. Do not
feel you must take all three hours for this exam. After you finish the exam, please do the Teaching
Ev
Rauli Susmel
FINA 8379
Fall 2008
Econometrics I: Midterm 1
Reminder: This is an open book exam. Strive for brevity and precision. Show your work. Do not
feel you must take all two hours for this exam.
Part I. Book Exercises (20 pts.)
Do exercises 6.7 (R2
Rauli Susmel
FINA 8379
Fall 2008
Econometrics I: Midterm 2
Reminder: This is an open book exam. Strive for brevity and precision. Show your work. Do not feel
you must take all two hours for this exam.
Part I. Book Exercises (10 pts.)
Exercise 11.7
Suppose
1) Explain what is correct, mistaken, confused or in need of further explanation in the following
statements relating to heteroscedasticity in a regression model:
(a) Heteroscedasticity occurs when the disturbance term in a regression model is correlated