EC508 Problem 5 Solution
gen ry=gdp*100/gdpp
gen mp=impp/gdpp
tsset time
reg imp ry mp time
Source |
SS
df
MS
Number of obs =
57
-+-F( 3, 53) = 1535.44
Model | 67578.109 3 22526.0363
Prob > F = 0.0000
Residual | 777.546915 53 14.6706965
R-squared = 0.9886

Topic 4 : Model Specication in the Classical Linear Model
Dr. Ani Dasgupta
Mass. Maritime Academy and Boston University
Draft lecture notes for a graduate econometrics course oered at Boston
University, Spring 2015. Please do not circulate without permiss

Solution Set 6
Econometrics
Spring 2014
Dr. Ani Dasgupta
1. (a) Attached is the log le containing the two regressions, both of which show that apart
from price, all other variables appear with the right coecients (positive) though
not all are signicant. W

Problem Set 5
Econometrics
Spring 2014
Dr. Ani Dasgupta
Note: Submit solutions for 1-6, and for 7 if you are interested in that extra-credit problem.
1. (a) Give an example to show that xn d x, yn d y, does not always imply xn + yn d
x + y (here xn , yn ,

Solution Set 7
Econometrics
Spring 2014
Dr. Ani Dasgupta
1. We are given
X(X X)1 X = X(X X)1 X
Premultiply by (X 1 X)1 (X 1 ) to obtain
(X X)1 X = (X 1 X)1 X
Premultiplying by 1 y to get
(X X)1 X y = X 1 X)1 (X 1 y)
.
2. A Breusch-Pagan test is appropriat

Solution Set 5
Econometrics
Spring 2014
Dr. Ani Dasgupta
1. (a) Let xn be 1 if a certain fair coin toss results in head (0 otherwise) and let yn be 1
if the same fair coin toss results in a tail (0 otherwise). Let x = y = xn . Then,
all these random varia

STATA: The Basics
Dr. Ani Dasgupta
MMA and BU1
STATA is an extremely useful piece of software which I have chosen for our use in Ec507
and 508 for the following reasons:
It makes an extremely rich collection of canned econometric procedures available to
t

Topic 6: Endogeneity and Instrumental Variables
Dr. Ani Dasgupta
Department of International Business, Mass. Maritime Academy
and
Department of Economics, Boston University
Draft lecture notes for a graduate econometrics course oered at Boston
University,

Topic 6: Endogeneity and Instrumental Variables
Dr. Ani Dasgupta
Department of International Business, Mass. Maritime Academy
and
Department of Economics, Boston University
Draft lecture notes for a graduate econometrics course oered at Boston
University,

Topic 3 : The Classical Linear Model
Dr. Ani Dasgupta
Department of International Business, Mass. Maritime Academy
and
Department of Economics, Boston University
Draft lecture notes for a graduate econometrics course oered at Boston
University, Spring 201

Topic 0: An Exhortation to Econometrics
Dr. Ani Dasgupta
International Business Department
Mass. Maritime Academy
and
Department of Economics
Boston University
Draft lecture notes for a graduate econometrics course oered at Boston
University, Spring 2015.

Topic 5 : A Small Dose of Large Sample Theory
Dr. Ani Dasgupta
Department of International Business, Mass. Maritime Academy
and
Department of Economics, Boston University
Draft lecture notes for a graduate econometrics course oered at Boston
University, S

Topic 2 : Background Material in Statistics
Dr. Ani Dasgupta
Department of International Business, Mass. Maritime Academy
and
Department of Economics, Boston University
Draft lecture notes for a graduate econometrics course oered at Boston
University, Spr

Panel Data Models
James L. Powell
Department of Economics
University of California, Berkeley
Overview
Like Zellners seemingly unrelated regression models, the dependent and explanatory variables for
panel data models (or pooled cross section and time seri

Using STATA for Data Analysis
Dr. Ani Dasgupta
MMA and BU1
0. Before we start
it might be helpful to download the auto.dta data file into STATA so that you can
follow along while trying out the commands on this dataset. Every implementation of
STATA comes

STATA: The Basics
Dr. Ani Dasgupta
MMA and BU1
STATA is an extremely useful piece of software which I have chosen for our use in Ec507
and 508 for the following reasons:
It makes an extremely rich collection of canned econometric procedures available to
t

A Quick Programming Primer for STATA
Dr. Ani Dasgupta
MMA and BU1
INTRODUCTION
For many statistical and econometric procedures (especially those which involve large data sets
and tedious, repetitive actions, doing things interactively by sending one comma

SOLVING OPTIMIZATION PROBLEMS WITH MICROSOFT EXCEL
Dr. Ani Dasgupta
Massachusetts Maritime Academy
This document describes how to input, solve, and report the solution of optimization problems
using the built-in solver feature of Microsoft Excel. I will a

Topic 8: GLS, Heteroskedasticity and Autocorrelation
Dr. Ani Dasgupta
Department of International Business, Mass. Maritime Academy
and
Department of Economics, Boston University
Draft lecture notes for a graduate econometrics course oered at Boston
Univer

Topic 1 : Linear Algebra for Econometrics
Dr. Ani Dasgupta
Department of International Business, Mass. Maritime Academy
and
Department of Economics, Boston University
Draft lecture notes for a graduate econometrics course oered at Boston
University, Sprin

Topic 9: Limited Dependent Variables
Dr. Ani Dasgupta
Mass. Maritime Academy and Boston University
Draft lecture notes for a graduate econometrics course oered at Boston
University, Spring 2015. Please do not circulate without permission.
1
Logit/Probit M

Solution to Problem Set 4
1. The appropriate F-statistic is already printed by Stata.
F( 3, 1277) = 181.52
The critical value of F at the 5 percent significance level is 2.61
The null hypothesis can be rejected (with 95 percent confidence that a type I er

EC508 Problem Set 3 Solution
Do file
gen le=ln(earnwke/uhourse)
gen sch=0 if grade92 = 31
replace sch=2.5 if grade92 = 32
replace sch=5.5 if grade92 = 33
replace sch=7.5 if grade92 = 34
replace sch=9 if grade92 = 35
replace sch=10 if grade92 = 36
replace

EC508 Solution to Problem Set 2
1. Two-tail test. 28 degrees of freedom.
Critical value of t-statistic = 2.048 at the 95 percent confidence level
Computed t (for zero null hypothesis) on intercept (1.92) < 2.048
We cannot reject the null-hypothesis that t

Problem Set 3
Econometrics
Spring 2017
Dr. Ani Dasgupta
1. (a) Give a numerical example to illustrate that if our model does not have a constant
term, R2 , as defined traditionally may not lie in [0, 1].
(b) Suppose our model does have a constant term. Is

Topic 0: An Exhortation to Econometrics
Dr. Ani Dasgupta
International Business Department
Mass. Maritime Academy
and
Department of Economics
Boston University
Draft lecture notes for a graduate econometrics course oered at Boston
University, Spring 2014.

Topic 1 : Linear Algebra for Econometrics
Dr. Ani Dasgupta
Department of International Business, Mass. Maritime Academy
and
Department of Economics, Boston University
Draft lecture notes for a graduate econometrics course oered at Boston
University, Sprin

ML ESTIMATION IN STATA
Dr. Ani Dasgupta
MMA and BU
1
Introduction
Maximum Likelihood estimation in STATA requires 2 parts:
1. Writing a likelihood evaluator program (say mylike)
2. Issuing ML command(s)
We will conne ourselves to those setups where the li

Mathematics for Econometrics
Third Edition
Springer Science+Business Media, LLC
Phoebus J. Dhrymes
Mathematics for
Econometrics
Third Edition
i
Springer
Phoebus J. Dhrymes
Department of Economics
Columbia University
New York, NY 10027
USA
Library of Congr

Instructions for Use of this Dataset
The Community Emergency Response Team (CERT) Program educates people about disaster preparedness for hazards that may impact
their area and trains them in basic disaster response skills, such as fire safety, search and

Topic 3 : The Classical Linear Model
Dr. Ani Dasgupta
Department of International Business, Mass. Maritime Academy
and
Department of Economics, Boston University
Draft lecture notes for a graduate econometrics course offered at Boston
University, Spring 2

Topic 5 : A Small Dose of Large Sample Theory
Dr. Ani Dasgupta
Department of International Business, Mass. Maritime Academy
and
Department of Economics, Boston University
Draft lecture notes for a graduate econometrics course offered at Boston
University,

Topic 1 : Linear Algebra for Econometrics
Dr. Ani Dasgupta
Department of International Business, Mass. Maritime Academy
and
Department of Economics, Boston University
Draft lecture notes for a graduate econometrics course offered at Boston
University, Spr