Recall the following properties of expectation, variance and covariance. Here, a and b are constants,
and X and Y are random variables.
R1 E[aX ] aE[ X ]
R 2 E[ X Y ] E[ X ] E[Y ]
R3 E[a ] a
R 4 var(aX ) a 2 var( X )
R5 cov(aX , bY ) ab cov( X , Y )
R6 va
ECON1066 Basic Econometrics
Tutorial Workshop Questions, Week 2
QUESTION 1
The Australian Student Union (ASU) states that the average cost of books for an
undergraduate degree should not exceed $450.
In a sample of 20 students at RMIT University, the aver
Assignment
ASSIGNMENTS
These two assignments are worth 25% each and contribute 50% towards your final mark.
Students are to form groups consisting of no less than 3 students and no more than 5
students. Full marks will be awarded if the assignments are co
RMIT UNIVERSITY
SCHOOL OF ECONOMICS, FINANCE &
MARKETING
ECON 1066 BASIC ECONOMETRICS
Semester 1, 2017
RMIT Course coordinator:
Associate Professor George Tawadros
RMIT Contact details:
School of Economics, Finance & Marketing
Building 80, Level 10, Room
Topic 3: Statistical Inference
TOPIC 3
S TAT I S T I C AL I N F E R E N C E
2
CONTENTS:
TOPIC 3
1. Introduction
2. Sampling Theory and Estimation
2.1 The Central Limit Theorem
2.2 Properties of Estimators
2.3 Interval Estimators
2.4 Sampling Theory of the
FORMULA SHEET:
Indices rules:
a
1.
x =
1
xa
2.
x a+b =x a x b
3.
x ab=x a xb =
a
x
b
x
4.
x b a
x =
x ab=
5.
xy =x y
6.
x a xa
= a =x a ya
y
y
a b
a
a
a
Logarithm rules:
( 1x )=log ( x)
1.
log a
2.
log a ( xw)=log a ( x )+ log a (w)
3.
log a
4.
log a ( x
ECON1272 Basic Econometrics
Tutorial Workshop Answers, Week 2
QUESTION 1
$450.00
X $467.50
$26.55
n 20
H0: = $450
H1: > $450
Level of significance: = 0.05
Test statistic: t-test, one tail, with 20-1=19 degrees of freedom, which gives a t Crit =
1.729
Re
ECON1066 Basic Econometrics
Tutorial Workshop Answers, Week 3
QUESTION 1
Since we generally rely on random samples, we can never be 100% certain of
something. As such, we must attach a probability, or a likelihood, of something
occurring, to whatever stat
Assignment
CASE STUDY ONE
In this Case Study, you will look at modelling the Australian dollar against the US dollar
exchange rate, using a conventional monetary model. The data you will use is in the file
called The Monetary Model.xls. This contains the
The F-distribution
We have seen that a test for all coefficients being significant aside
from the constant is:
F=
ESS / k
~F(k,n-k-1)
RSS /(n k 1)
We may therefore compare the resulting F statistic with the 95% or
99% etc. critical value of the appropri
ECON1066 Basic Econometrics
Tutorial Workshop Questions, Week 3
QUESTION 1
In the field of Econometrics, we can only make probabilistic statements. What do
we mean by that?
QUESTION 2
What are some of the differences between Econometric (macroeconomic, so
SCHOOL OF ECONOMICS, FINANCE & MARKETING
ECON 1272 - BASIC ECONOMETRICS
2. LINEAR REGRESSION APPLICATIONS
SUBMISSION DATE - Saturday, September 10th, 2016
_
CASE STUDY ONE - continued
(a)
(b)
The R2 value tells us that 0.280018 of the
Risk Management BAFI 1029
Topic 3: Interest rate risk
Important Note
These lecture notes are prepared for an
overall understanding of Chapter 2 of your
Textbook.
You are expected to thoroughly read this
Chapter after your Lecture.
Every section of this
ETF 5930
EViews Instruction
1. Download the data Tutorial.xls
from Moodle and save them in your own area. Run
EViews programme in your computer, then you will see the initial window.
To import the data, you should rst generate a new EViews workle. From th
ETF5930 Financial Econometrics
Week 3 Tutorial
Part 1: Exercises with Eviews Instructions
Priority is given to the first question in the Tutorial.
Use the Eviews workfile you created in the first tutorial. If you do not have this file,
use equities.wf1 av
ETF 5930
Week 3 tutorial brief solutions
Remember these solutions are only short descriptions of expected answers. Students
are expected to be able to produce full answers to tutorial questions.
Question 1.
(a) Leptokurtosis: See lecture slides
Use the Ev
Multiple Linear Regression
Example 13.5, Page 464
Y
Obesity
Country
Rate
Australia
21.7
Austria
9.1
Belgium
11.7
Canada
14.3
Czech Rep
14.8
Denmark
9.5
Finland
12.8
France
9.4
Germany
12.9
Greece
21.9
Hungary
18.8
Iceland
12.4
Ireland
13
Italy
8.5
Japan
3
ECON1272 Basic Econometrics
Tutorial Workshop Questions, Week 4
QUESTION 1
The Capital Asset Pricing Model (CAPM) can be used to estimate the systematic risk
of a stock, known as beta, which is a measure of how the stock price reacts to
changes in the mar
ECON1272 Basic Econometrics
Tutorial Workshop Questions, Week 6
QUESTION 1
This question uses data from gpa2.xls and follows the questions in Chapter 3 of
Wooldridge, p. 106
We will consider the Grade Point Average (GPA) of US university students. The GPA
ECON1272 Basic Econometrics
Tutorial Workshop Questions, Week 2
QUESTION 1
The Australian Student Union (ASU) states that the average cost of books for an
undergraduate degree should not exceed $450.
In a sample of 20 students at RMIT University, the aver
ECON1272 Basic Econometrics
Tutorial Workshop Questions, Week 3
QUESTION 1
In the field of Econometrics, we can only make probabilistic statements. What do
we mean by that?
QUESTION 2
What are some of the differences between Econometric (macroeconomic, so
ECON1272 Basic Econometrics
Tutorial Workshop Questions, Week 5
QUESTION 1
Use the data that you have used in week 4.
a) Estimate the market model between the AMCOR stock and the Market Index.
You can choose to generate the returns series by equation or d
Risk Management BAFI 1029
Topic 5: Forwards
Important Note
These lecture notes are prepared for an
overall understanding of Chapter 4 of your
Textbook.
You are expected to thoroughly read this
Chapter after your Lecture.
Every section of this chapter i
BASIC ECONOMETRICS
CHAPTER 1: THE NATURE OF ECONOMETRICS AND ECONOMIC DATA
What is Econometrics?
Econometrics is a branch of mathematical statistics that is concerned with applying statistics to nonexperimental data.
Econometrics has evolved as a separate