Answer key to problem set # 6
ECON 342
Prof. Shakeeb Khan
T.A. J. Marcelo Ochoa
Spring, 2009
The following table reports the results assuming = 0.75 and testing with a 5% condence,
RMSE
T=100 0.0693
T=200 0.0468
T=400 0.0336
% of Rejections H0 : = 1
100 %
Questions
1. Consider the following LIML model:
yi1 = Yi1 + xi1 + ui1
(1)
Yi1 = xi 1 + Vi1
(2)
where yi1 is a scale, and Yi1 is a vector with second equation characterizing the reduced
form of the model. ui1 is a scalar random variable and Vi1 is a vector
Econ 485
March 2, 2006
Shakeeb Khan
Spring 2006
Midterm Exam
75 mins / 75 points.
Points for each question are in parentheses.
This exam is closed book, but you may refer to one sheet of notes.
1. (Total 12.5 points) X denotes a n k matrix that is full co
Econ 342
August 8, 2008
Shakeeb Khan
Summer 2008
Econ 342 Final Exam
120 minutes, 90 points.
Points for each question are in parentheses.
This exam is closed book, but you may refer to two sheets of notes.
1. (Total 30 points) Consider the following binar
Econ 485
March 3, 2005
Shakeeb Khan
Spring 2005
Midterm Exam
75 mins / 75 points.
Points for each question are in parentheses.
This exam is closed book, but you may refer to one sheet of notes.
1. (Total 10 points) X denotes a n k matrix that is full colu
Econ 342
March 5, 2008
Shakeeb Khan
Spring 2008
Midterm Exam
75 mins / 75 points.
Points for each question are in parentheses.
This exam is closed book, but you may refer to one sheet of notes.
1. (Total 30 points) Consider the following binary choice pan
Econ 485
May 4, 2006
Shakeeb Khan
Spring 2006
Final Exam
180 mins / 180 points.
Points for each question are in parentheses.
This exam is closed book, but you may refer to two sheets of notes.
1. (Total 34 points) A random sample X1 , X2 , .Xn is taken fr
Econ 342
May 1, 2007
Shakeeb Khan
Spring 2007
Final Exam
180 mins / 180 points.
Points for each question are in parentheses.
This exam is closed book, but you may refer to a sheet of notes.
1. (Total 30) Suppose that each member of a population travels to
Econ 342
April 28, 2008
Shakeeb Khan
Spring 2008
Final Exam
180 mins / 180 points.
Points for each question are in parentheses.
This exam is closed book, but you may refer to 2 sheets of notes.
1. (Total 36 points) Consider the following system of equatio
Re) 22 13: j
(MC?
n 0 av gig AdH/hm 0 i\ Jniig(i;,l;): 455) ~ 2%:
OL ~>r$ in?) 21L :0
I 4 if; :0
\7 3" :1
.3) 333%
i=3:
:3 Uvs Nfa)v)
A
MR V T mezt) -; A
5 9&1 coat; 4 (fit F in, 50
52 a 9-10 ; OLE 7L (2,: Wan" cfw_at
t L.
b) [3911: #Nu: 1 61+(S: + 5%.
Answer key to problem set # 5
ECON 342
Prof. Shakeeb Khan
T.A. J. Marcelo Ochoa
Spring, 2009
Problem (Hayashi Chapter 6, page 375 #1). Solution. If cfw_j is absolutely summable then:
j=
then,
|j | <
n
m
j=1
|j | < and
j=1
|j | <
Since these two sequenc
Answer key to problem set # 3
ECON 342
Prof. Shakeeb Khan
T.A. J. Marcelo Ochoa
Spring, 2009
Problem (Hayashi Chapter 7, page 469 #4). Solution. What needs to be proved is: If E (xt xt )
is nonsingular, then (xt ) = (xt 0 ) for = 0 . Since the CDF () is s
Answer key to problem set # 1
ECON 342
J. Marcelo Ochoa
Spring, 2009
Problem (4.4 1). The 2SLS estimator for equation m,
yim = zim m + eim
using as instruments xim can be written as,
1
1
m = [Sxm zm Sxm xm Sxm zm ]1 Sxm zm Sxm xm sxm ym
where,
Sxm zm =
Sx
Answer key to problem set # 4
ECON 342
Prof. Shakeeb Khan
T.A. J. Marcelo Ochoa
Spring, 2009
Problem (3). Let yi = max(xi 0 + i , 0). Formally derive the expression for E (yi |xi , yi > 0)
2
and E (yi |xi ) assuming i is normally distributed with variance
Answer key to problem set # 2
ECON 342
J. Marcelo Ochoa
Spring, 2009
Problem 1. For T = 2 consider the standard panel data model:
yit = xit + i + it
a) Numerically compare the xed eect and rst dierence estimates.
b) Compare the error variance estimates fr
Econ 342
March 4, 2009
Shakeeb Khan
Spring 2009
Midterm Exam
75 mins / 75 points.
Points for each question are in parentheses.
This exam is closed book, but you may refer to one sheet of notes.
1. (Total 21 points) Believe it or not, this question relates
Econ 485
May 5, 2005
Shakeeb Khan
Spring 2005
Final Exam
180 mins / 180 points.
Points for each question are in parentheses.
This exam is closed book, but you may refer to two sheets of notes.
1. (Total 30) A random sample X1 , X2 , .Xn is taken from a Po