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Advanced Econometric Methods I: Problem Set 2: Geert Mesters October 5, 2020

This document provides a problem set with 4 questions for an advanced econometrics methods course. Students are asked to find maximum likelihood estimators, method of moments estimators, sufficient and complete statistics, and Cramer-Rao lower bounds for distributions including the uniform, normal, and a density with parameter θ. Solutions are due by email to the teaching assistant by a specified deadline.

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57 views

Advanced Econometric Methods I: Problem Set 2: Geert Mesters October 5, 2020

This document provides a problem set with 4 questions for an advanced econometrics methods course. Students are asked to find maximum likelihood estimators, method of moments estimators, sufficient and complete statistics, and Cramer-Rao lower bounds for distributions including the uniform, normal, and a density with parameter θ. Solutions are due by email to the teaching assistant by a specified deadline.

Uploaded by

Kadir
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
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Download as PDF, TXT or read online on Scribd
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Advanced Econometric Methods I: Problem set 2

Geert Mesters
October 5, 2020

This problem set includes 4 questions. Please explain your answers clearly and state
additional assumptions clearly if you use them. You may work in small groups (max 4) and
you hand in 1 assignment per group. Your solutions need to be emailed to Vladislav
([email protected]) before the next TA-session 12-10-2019 (Monday).
Good luck !!!

• Before answering the questions below it is recommended to read the relevant pages in
Hayashi and Casella & Berger. See the detailed reading list on google classroom.

• UMVUE = uniform minimum variance unbiased estimator, i.e. the best unbiased.

(i) Let X1 , . . . , Xn be a random sample from a uniform distribution on [0, θ] with θ ≥ 0.

(a) Show that maxi Xi is a sufficient statistic for θ.


(b) Show that maxi Xi is complete.
(c) Compute the maximum likelihood estimator of θ.
(d) Propose a (different) method moments estimator of θ.

(ii) Let X1 , . . . , Xn be a random sample from the N (θ, 1) distribution.

(a) Find the Cramer-Rao lower bound for the variance of unbiased estimators of θ,
θ2 and P [X > 0].
(b) Is there an unbiased estimator of θ2 for n = 1? If so, find it.
(c) Is there an unbiased estimator of P [X > 0]? If so, find it.
(d) What is the maximum-likelihood estimator of P [X > 0]?
(e) Is there an UMVUE of θ2 ? If so, find it.
(f) Is there an UMVUE of P [X > 0]? If so, find it.

1
(iii) Let X1 , . . . , Xn be a random sample from the density

f (X|θ) = θ(1 + x)−(1+θ) 1{x > 0} θ>0

(a) Estimate θ by the method of moments assuming θ > 1.


(b) Find the MLE of 1/θ
(c) Find a complete and sufficient statistic if one exists.
(d) Find the Cramer-Rao lower bound for unbiased estimators of 1/θ.
(e) Find the UMVUE of 1/θ if such exists.

(iv) Make analytical question 4 in Hayashi (see page 72).

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