Econometrics
Problem Set 4
WISE, Xiamen University
Spring 2015
Conceptual Questions
1. (SW 5.2) Suppose that a researcher, using wage data on 250 randomly selected male workers
and 280 female workers, estimates the OLS regression,
W age = 12.52 + 2.12X, R

Econometrics
Problem Set 7
WISE, Xiamen University
Spring 2015
Conceptual Questions
1. (SW 8.2) Suppose that a researcher collects data on houses that have sold in a particular
neighborhood over the past year and obtains regression results in Table 1.
Dep

Econometrics
Problem Set 8
WISE, Xiamen University
Spring 2015
Conceptual Questions
1. (SW 9.2) Consider the one-variable regression model: Yi = 0 + 1 Xi + ui , and suppose
that it satisfies the three least squares assumptions. Suppose that Yi is measured

Homework 6
Jerry Hsueh
May 6, 2016
Answer all questions. Show all your calculations and reasonings. Enjoy.
1. MWG 23.B.3
2. MWG 23.B.4
3. MWG 23.F.3
4. MWG 23.F.5
1

Econometrics
Problem Set 6
WISE, Xiamen University
Spring 2016
Conceptual Questions
1. This question refers to the estimated regressions in shown in table ? computed using data for
1988 from the CPS. The data set consists of information on 4000 full-time

Econometrics
Problem Set 5
WISE, Xiamen University
Spring 2016
Conceptual Questions
1. This question refers to the estimated regressions in shown in Table 1 computed using data for
1988 from the CPS. The data set consists of information on 4000 full-time

Econometrics
Problem Set 4
WISE, Xiamen University
Spring 2015
Conceptual Questions
1. (SW 5.1) Suppose that a researcher, using data on class size (CS ) and average test scores
from 100 third-grade classes, estimates the OLS regression,
\ = 520.4 - 5.82C

WISE International Masters
ECONOMETRICS
Instructor: Brett Graham
INSTRUCTIONS TO STUDENTS
1 The time allowed for this examination paper is 2 hours.
2 This examination paper contains 29 questions. You are REQUIRED to answer ALL questions. No marks will be

WISE International Masters
ECONOMETRICS
Instructor: Brett Graham
INSTRUCTIONS TO STUDENTS
1 The time allowed for this examination paper is 3 hours.
2 This examination paper contains 31 questions. You are REQUIRED to answer ALL questions. No marks will be

Econometrics
Problem Set 12
WISE, Xiamen University
Spring 2015
Conceptual Questions
1. (SW 13.3) Suppose that, in a randomly controlled experiment of the effect of a GRE preparatory course on GRE scores, the following results are reported:
Average GRE sc

Econometrics
Problem Set 11
WISE, Xiamen University
Spring 2015
Conceptual Questions
1. (SW 12.1) This question refers to the panel data regressions summarized in the following
table:
Dependent variable: ln(Qcigarettes
) ln(Qcigarettes
)
i,1995
i,1985
Reg

Econometrics
Problem Set 10
WISE, Xiamen University
Spring 2015
Conceptual Questions
Dependent variable: P ass
Probit
Logit
(1)
(2)
Experience 0.031
0.040
(0.009) (0.016)
M ale
M ale
Experience
Constant
0.712
(0.126)
1.059
(0.221)
LPM
(3)
0.006
(0.002)
Pr

Econometrics
Problem Set 6
WISE, Xiamen University
Spring 2015
Conceptual Questions
1. This question refers to the estimated regressions in shown in table 1 computed using data for
1988 from the CPS. The data set consists of information on 4000 full-time

Econometrics
Problem Set 6
WISE, Xiamen University
Spring 2016
Conceptual Questions
1. This question refers to the estimated regressions in shown in table ? computed using data for
1988 from the CPS. The data set consists of information on 4000 full-time

Econometrics
Problem Set 4
WISE, Xiamen University
Spring 2015
Conceptual Questions
1. (SW 5.1) Suppose that a researcher, using data on class size (CS ) and average test scores
from 100 third-grade classes, estimates the OLS regression,
\ = 520.4 - 5.82C

Homework 5
Jerry Hsueh
May 6, 2016
Answer all questions. Show all your calculations and reasonings. Enjoy.
1. MWG 23.C.4
2. MWG 23.C.10
3. MWG 23.E.2
4. MWG 23.E.6
1

SPRING 2016
PROFESSOR HONG
ADVANCED ECONOMETRICS II: Homework 7
1.Suppose that in a linear regression model
Yt = Xt0
o
+ ";
where the disturbance "t is observable. Suppose Assumptions 5.15.5 hold. Conditional
homoskedasticity is imposed that var("t jIt 1

Advanced Econometrics II
Problem Set 2 Suggested Solutions
1. Q 2.4
(a) Using adding and subtracting, we have
M SE(g) = E[Y g(X)]2 = E[Y go (X) + go (X) g(X)]2
= E[Y go (X)]2 + E[go (X) g(X)]2 + 2E[(go (X) g(X) Y go (X) ]
= E[Y go (X)]2 + E[go (X) g(X)]2

Advanced Econometrics II
Problem Set 5 Suggested Solutions
Solution 5.1
(a) Let C > 0 be some bounded constant. By the Cauchy-Schwarz inequality
1
1
1
1
2 2
E|Xjt t | (EXjt
) (E2t ) 2 C 2 C 2 C
2
where E(Xjt
) C by assumption 1.2 and E(2t ) C by assumptio

Solution of homework4
March 28, 2016
1
Q4.1
Proof:
Given that
s2 = e0 e/(n k 1)
then in order to prove that
F =
(e
e0 ee e0 e)/J
e0 e/(n k 1)
we only need to prove that
(Rb )0 [R(X 0 X)1 R0 ]1 (Rb ) = ee0 ee e0 e
Given that
ee = Y X e
= Y X b + X b X e
e

Suggested Solutions to HW3 of AE II
1
Q3.1
(a)
Rewrite the equation in a compact form, Y = X 0 + . The linear regression model should
be
Y = X + u
0
= (i, X1 ) + u
1
= i0 + X1 1 + u,
where i = (1, ., 1)0 .
To find the OLS estimator such that minSSR(), w

Advanced Financial Economics
Homework 4
Due on May 17th before class
1. (30 points) Consider an economy in which there are two dates, t = 0 and
t = 1, and two possible states, i = 1 and i = 2, at t = 1, which occur with
equal probability, so that 1 = 2 =

Advanced Econometrics II
Some Useful Proof
1. Proof the result given on page 19 of Chapter 3.
We want to show that
0
0 var(|X)
2 1
min (X X),
where 0 = 1.
First, it is easy to show by Spectral Decomposition,
(X0 X)1 = CC 0 ,
where C is a K K matrix with

Advanced Econometrics II
Proof of Lemma 3.8
Given Q is an n n non-stochastic symmetric idempotent matrix, by Spectral Decomposition of a Matrix, we
can decompose Q as
Q = CC 0 ,
where C is a n n matrix with jth column being cj corresponding to the jth eig

Econometrics
Problem Set 1
WISE, Xiamen University
Spring 2016
Conceptual Questions
1. A roulette wheel has the numbers 1 through 36, as well as 0 and 00. If you bet $1 that an
odd number comes up, you win or lose $1 according to whether or not that event

Econometrics
Problem Set 2
WISE, Xiamen University
Spring 2016
Conceptual Questions
1. (SW 3.2) Let Y be a Bernoulli random variable with success probability Pr(Y = 1) = p, and
let Y1 , . . . , Yn be i.i.d. draws from this distribution. Let p be the fract

Econometrics
Problem Set 3
WISE, Xiamen University
Spring 2016
Conceptual Questions
1. (SW 4.2) Suppose that a random sample of 200 twenty-year-old men is selected from a
population and that these mens height and weight are recorded. A regression of weigh

Econometrics
Problem Set 5
WISE, Xiamen University
Spring 2015
Conceptual Questions
1. This question refers to the estimated regressions in shown in Table 1 computed using data for
1988 from the CPS. The data set consists of information on 4000 full-time

Econometrics
Problem Set 4
WISE, Xiamen University
Spring 2015
Conceptual Questions
1. (SW 5.2) Suppose that a researcher, using wage data on 250 randomly selected male workers
and 280 female workers, estimates the OLS regression,
\
W
age = 12.52 + 2.12X,

Econometrics
Problem Set 8
WISE, Xiamen University
Spring 2015
Conceptual Questions
1. (SW 10.5) Consider the model with a single regressor Yit = 1 X1,it + i + t + uit . This
model can be written as
Yit = 0 + 1 X1,it + 2 B2t + . . . + T BTt + 2 D2i + . .