中级计量经济学2班10期末试题.pdfVIP

Intermediate Econometrics Final Exam Spring 2010 Note: (1) You have two hours to complete the exam. (2) You can answer in either English or Chinese. 1 True or False (20 points) Indicate true or false for the following statements. Explain only if the statement is false. 2 points each. 1. Instrumental variable regression is needed when the residuals are correlated with the regressors. 2. Consider the regression model ln(consumption) 08 32education 14education f emale 09 ln(income) (02) (11) (05) (04) where education measures years of schooling and female is the dummy if one is a female, and values in brackets are standard errors. This model shows that on average an additional year of education shall increase consumption by 3.2% on average, and this result is significant at 5% significance level. ˆ ˆ 3. Consider y x u V( IV ) using z as an instrument is always larger than V OLS , so we should avoid using IV whenever x and u are independent. 4. Consider the model y y z u (1) 1 0 1 2 2 1 1 y z q q v (2) 2 1 1 2 1 3 2 where cov(y u ) 0, z q q are exogenous variables. Then equation (1) is called 2 1 1 1 2 the reduced form equation. 5. The weakest consistency condition for FGLS for AR(1) is E (u ) 0 and E [x u