Answer key for the 2005 final exam (econ 220b).
1. a. Let x t r t , y t U , - ! x t x Ut "1 ! x t p t and z t -U x t , r t U . Then we can estimate c
consistently from the formula
! z t z U "1 ! z t q t .
t
d
b. We need to assume that S xx T "1 X U X and
Econ 220B Final Exam
Winter 2014
DIRECTIONS: No books or notes of any kind are allowed. 250 points
are possible on this exam.
1.) (30 points total) An eager undergraduate student has just learned
about the scal multiplier, which claims that if real govern
Econ 220B Final Exam
Winter 2012
DIRECTIONS: No books or notes of any kind are allowed. Answer all questions on separate
paper. 250 points are possible on this exam.
1.) (80 points total) Consider the following regression model:
y X
E |X
0
2
E
|X
V.
Here
1
Econ 220B
James Hamilton
Final Exam
Winter 2005
DIRECTIONS: No books or notes of any kind are allowed.
separate paper. 250 points are possible on this exam
Answer all questions on
1.) (80 points total) An economist is interested in estimating the price
1
Econ 220B
James Hamilton
Final Exam
Winter 2003
DIRECTIONS: No books or notes of any kind are allowed.
separate paper. 250 points are possible on this exam
Answer all questions on
1.) (80 points total) This question explores the consequences of measurem
Answer key for the final exam in 2014
1a.) Yes, this could be completely spurious regression. To test, estimate by OLS
2
t
0
1Gt
2 t 1 for t the OLS residual from the first regression. If TR from this second
2
regression is bigger than 3.84 (the 5% critic
Answer key for the final exam in 2012
1a.) b
X X 1X y
b.) E b
, yes is unbiased because E |X
0
X V 1X 1X V 1y
c.) GLS
d.)
y t x t b 2 is smaller because OLS minimizes sum of squared residuals
e.) b X Xb/ ks 2
f.) No, but |X N 0, 2 I T would be a sufficien
Answers to Econ 220B Final Exam, Winter 2013
1.)
a.) Reject * 0 since t 2. Note t * /@ * so @ * 0. 8/4 0. 2 and t stat for * 1 is
0. 8 " 1. 0/0. 2 "1 so do not reject * 1.
b.) * 0 0, * 1 0. 80 and t-statistic for * 1 is numerically identical to that from
Answer key for the 2004 nal exam (econ 220b).
1. See the textbook.
2. This test is discussed on pages 121 and 122 of Hayashi. We assume that
g has continuous rst derivatives and then apply the delta method, exploiting the fact that g is approximately line
Econ 220B Final Exam
Winter 2013
DIRECTIONS: No books or notes of any kind are allowed. 250 points are possible on this exam.
1.) (90 points total) A researcher is interested in the relation between someones income and how
much their father earns. Conside