Problem Set 4
Due Wednesday February 19
This problem set asks you to replicate and extend the analysis by Hayashi
and Fama of the joint hypothesis of ecient markets and constant ex ante
real interest
1
Econ 220B, Winter 2014
Problem Set 6
Due Monday, March 10
This problem set asks you to perform certain calculations with the shortened version of
the Griliches data set available from http:/fhayashi
Answer key for the midterm in 2008
1.) a.)
There is no difference in estimating between Option 1 and Option 2.
Validity of t test:
- Advantage: t test using Option 2 is asymptotically valid in the pre
1
Econ 220B, Winter 2014
Problem Set 5
Due Monday, March 3
This problem set invites you to choose a published economics article that estimates a
regression with the intention of measuring the eect of
Problem Set 2
Due Wednesday January 22
This problem set asks you to replicate and extend the analysis by Hayashi and Nerlove of cost
functions for electricity generation. Note that data sets for Hayas
1
Econ 220B, Winter 2014
Problem Set 1
Due Wednesday, Jan 15
1.) Let X be a (T k) matrix whose columns are linearly independent, and let M = IT
X(X X)1 X . Show that M is symmetric and idempotent. Ca
1
Econ 220B, Winter 2014
Problem Set 3
Due Wednesday January 29
Let cfw_yt T be an i.i.d. N (0, 2 ) sequence. Consider ST , the average squared value of
t=1
2
y : ST = T 1 T yt .
t=1
L
1.) Show that T
1
Econ 220B, Winter 2011
James Hamilton
Midterm Exam
DIRECTIONS: No books or notes of any kind are allowed.
separate paper. 150 points are possible on this exam.
Answer all questions on
1.) (55 points
1
Econ 220B, Winter 2010
Answers to midterm exam
1.) a.) E ( 2 ) = 2 . b.) |X N (0, IT )
2.) Let a() = 1/ and
A() =
Then for T = T 1
(the delta method)
PT
t=1
yt by CLT
a
1
= 2.
L
T ( T ) N (0, 2 ) an
1
Econ 220B, Winter 2009
James Hamilton
Midterm Exam
DIRECTIONS: No books or notes of any kind are allowed.
separate paper. 150 points are possible on this exam.
Answer all questions on
1.) (50 points
1
Econ 220B, Winter 2010
Midterm Exam
DIRECTIONS: No books or notes of any kind are allowed.
separate paper. 150 points are possible on this exam.
Answer all questions on
1.) (20 points) Consider the
Answer key for the midterm in 2009
1. a.)
XX
1
Xy
X V 1X
1
X V 1y
OLS
b.)
GLS
c.)
R2
OLS
R2
GLS
because
T
arg min
OLS
t1
yt
2
xt
.
d.) The appropriate test statistic is
1
m
R
s2R X V 1X
r
GLS
1
1
R
R
Answer key for the midterm in 2011
1a.)
1
b1
nM
0
y t x t1
b2
0
nF
y t x t2
b 1 is exactly equal to the average wage earned by male workers in the sample.
b.) s 2
T 21
y t x t1 b 1 x t2 b 2 2
c.)
b1 b
1
Econ 220B, Winter 2008
James Hamilton
Midterm Exam
DIRECTIONS: No books or notes of any kind are allowed.
separate paper. 150 points are possible on this exam.
Answer all questions on
1.) (30 points
Answer key for the midterm in 2007
1.) The sample correlation of e t and x t is always zero in OLS because from the normal equation
T
etxt
0.
t1
2
2.) When E
V X , premultiply the regression model by
1
Econ 220B, Winter 2007
James Hamilton
Midterm Exam
DIRECTIONS: No books or notes of any kind are allowed.
separate paper. 150 points are possible on this exam.
Answer all questions on
1.) (15 points