Economics 240B
Winter 2013
Professor Startz
Homework 2
1.
The summation operator is commonly used in econometrics, and this exercise asks you
to work out some of its useful properties. You have two variables x i and y i , each with N
1
N
observations. You
Economics 240BA
Winter 2012
Professor Startz
Homework 3
1. The variance of the OLS estimator is
( )
, where
. You're hired to
estimate and you're going to be paid according to the accuracy of your estimate.
Specifically, your revenue is
. You can buy as m
Economics 240B
Winter 2012
Professor Startz
Homework 1
Part I
Allan Lichtman, a political historian at American University, made the news predicting an
Obama re-election based on his book The Keys to the White House. Lichtman says the vote for
the incumbe
Economics 240B
Winter 2013
Professor Startz
Sketched Out Final Answers
Note that not all the details are shown here. The sketches here are just to point you in the right
direction. A good exam answer would have more details.
1)
a)
(
),
(
)
(
)
b)
(
),
(
)
12/9/2015
Big Goals
Interpret an empirical equation once we have
it.
Understand theory behind regression.
Measure uncertainty in estimated equations.
Learn limits to regression and be able to use
appropriate extensions.
Econometric Methods
Professor D
12/9/2015
k-RHS variable model
= 1 1 + 2 2 + + +
ceteris paribus assumption
=
Multiple Regression
Copyright Dick Startz
1
=
1
48
45
23
Let be a column vector of constants and be
a random variable.
E 0 + 1 1 + +
= 0 + 1 E 1 + + E
+
1
E = E
1
12/10/2015
Goals
Omitted variable.
Correlated with included variables or not.
Theils misspecification theorem.
Misspecification
Included extraneous variable.
Correlated with error or not.
Copyright Dick Startz
1
Copyright Dick Startz
2
Problem: corre
1/28/2016
Goals
Heteroskedasticity
Different observations have different
variances
OLS variance formula wrong
Generalized Least Squares-GLS (weighted least
squares)
Testing for heteroskedasticity
Robust standard errors
Generalized Least Squares
Copyr
Economics 240B
Winter 2012
Professor Startz
Sketched Out Final Answers
Note that not all the details are shown here. The sketches here are just to point you in the right
direction. A good exam answer would have more details.
1)
a)
(
),
(
)
(
)
b)
(
),
(
)
Economics 240B
Winter 2013
Professor Startz
Midterm
Name:
Student number:
.
Answer all 5 questions. Each question is worth 15 points, although some questions are easier than
others. Be sure to show your work for each question. Please write your answers on
Economics 240B
Winter 2012
Professor Startz
Homework 2
1.
The summation operator is commonly used in econometrics, and this exercise asks you
to work out some of its useful properties. You have two variables x i and y i , each with N
1
N
observations. You
Economics 240B
Winter 2012
Professor Startz
Homework 4
1. Using the CPS data set, regress log(wsal_val) on a constant and education. What's the
percentage return to another year of education. Now regress wsal_val on a constant and
education, being sure th
Economics 240B
Winter 2012
Professor Startz
Homework 5
1. Use the data set shorttbills.wf1. Regress the three month treasury bill rate (tb3ms) on the
lagged three month rate and the twice lagged 6 month rate (tb6ms(-2). Do the coefficients
make much sense
Economics 240A
Winter 2012
Professor Startz
Homework 6
Part I
Use the data set UWLAW2000.wf1 for this homework. To be sure you have valid data set the
sample with
smpl if gpa<=4 and lsat>99 and lsat<200
The variable ADMIT is a dummy for whether an applica
Economics 240B
Winter 2013
Professor Startz
Homework 1
Part I
Allan Lichtman, a political historian at American University, made the news predicting an
Obama re-election based on his book The Keys to the White House. Lichtman says the vote for
the incumbe
Economics 240BA
Winter 2012
Professor Startz
Homework 3
1. The variance of the OLS estimator is
( )
, where
. You're hired to
estimate and you're going to be paid according to the accuracy of your estimate.
Specifically, your revenue is
. You can buy as m
Economics 240B
Winter 2013
Professor Startz
Homework 4
1. Using the CPS data set, regress log(wsal_val) on a constant and education. What's the
percentage return to another year of education. Now regress wsal_val on a constant and
education, being sure th
Economics 240B
Winter 2012
Professor Startz
Midterm
Name:
Student number:
.
Answer all 5 questions. Each question is worth 15 points, although some questions are easier than
others. Be sure to show your work for each question. Please write your answers on