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Final Exam 2018 Ae Sample 1

The document is an exam for an econometrics course consisting of 10 questions worth 50% of the student's grade. It tests the student's ability to: 1) Compute summary statistics like SSE, SST, and SSR from regression data. 2) Perform hypothesis tests on regression coefficients and the overall significance of variables. 3) Interpret regression results and test specifications like adding quadratic terms. 4) Analyze how variables like school poverty rates and teacher salaries are related while controlling for other factors. The questions require skills like regression, hypothesis testing, and interpreting economic relationships based on econometric analysis.

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Phuong Nguyen Minh
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48 views6 pages

Final Exam 2018 Ae Sample 1

The document is an exam for an econometrics course consisting of 10 questions worth 50% of the student's grade. It tests the student's ability to: 1) Compute summary statistics like SSE, SST, and SSR from regression data. 2) Perform hypothesis tests on regression coefficients and the overall significance of variables. 3) Interpret regression results and test specifications like adding quadratic terms. 4) Analyze how variables like school poverty rates and teacher salaries are related while controlling for other factors. The questions require skills like regression, hypothesis testing, and interpreting economic relationships based on econometric analysis.

Uploaded by

Phuong Nguyen Minh
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
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Final-Exam 2018 AE Sample-1

Econometrics (Trường Đại học Kinh tế Thành phố Hồ Chí Minh)

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Final Exam – Quarter/Semester X – 20YY


Set 01
School of Business/UEH

STUDENT DETAILS
Complete your details in this section when instructed by the Exam Supervisor at the start of the exam.
You should also complete your details on any answer booklets provided.

STUDENT FAMILY NAME:

STUDENT GIVEN NAME:

STUDENT ID:

EXAM INSTRUCTIONS
Read all the information below and follow any instructions carefully before proceeding.
You must comply with all directions given by Exam Supervisors.
You may begin writing when instructed by the Exam Supervisor at the start of the exam.
Clearly indicate which question you are answering on any Examination Answer Booklets used.

Unit Name: Applied Econometrics


Unit Number: ……..

Number of Questions: 02

Total Number of Pages: 02 pages (excluding exam cover sheet and statistical tables)

Value of Questions: Question 1: 16%, Question 2: 34% marks, giving a total of 50% of the
final grade.

Answering Questions: Answer all questions in the Examination Answer Sheets provided.

Lecturer/Unit Coordinator:

Time Allowed: 120 minutes plus 15 minutes of reading

RESOURCES ALLOWED
Only the resources listed below are allowed in this exam

1. Statistical tables are provided at the last two pages of this question paper.
2. Non-scientific calculators are allowed. No phones, no other electrical devices.

DO NOT TAKE THIS PAPER FROM THE EXAM ROOM


0

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Question 1 (16%)

Xi 1 2 3 4 5

Yi 3 7 5 11 14

The estimated regression equation for those data is 𝑌̂𝑖 = 0.20 + 2.6𝑋𝑖

a. (12%) Compute SSE, SST, and SSR.

b. (4%) Compute the coefficient of determination 𝑅 2 . Comment on the goodness of fit.


2 2
With 𝑆𝑆𝐸 = Σ(𝑌̂𝑖 − 𝑌̅) , 𝑆𝑆𝑇 = Σ(𝑌𝑖 − 𝑌̅)2 , 𝑆𝑆𝑅 = Σ(𝑌𝑖 − 𝑌̂𝑖 )

Question 2 (34%)

Use a data set with the following variables:

lavgsal : log of average salary of teachers (by school), bs is the ratio of average benefits to
average salary (by school), lenroll represents for school size (at log level), lstaff is staff-to-
student ratio in a school (at log level), lunch is the percentage of students in a school eligible
for the free lunch program at school.
Those variables are data collected from 1,848 schools in the US.
The simple regression gives
̂ = 10.648 – 0.503 bs
𝑙𝑎𝑣𝑔𝑠𝑎𝑙
(0.057) (0.166)
n = 1,848, 𝑅2 = .0044, 𝑅̅2 = .0049
Use the 5% level to answer all parts of this question.
a. (4%) Can you reject 𝐻0 : 𝛽𝑏𝑠 = 0 against a two-sided alternative?
Can you reject 𝐻0 : 𝛽𝑏𝑠 = −1 against 𝐻1 : 𝛽𝑏𝑠 > −1.

Estimate the equation


𝑙𝑎𝑣𝑔𝑠𝑎𝑙 = β0 + β1 bs + β2 𝑙𝑒𝑛𝑟𝑜𝑙𝑙 + 𝛽3 𝑙𝑠𝑡𝑎𝑓𝑓 + 𝛽4 𝑙𝑢𝑛𝑐ℎ + 𝑢
To get
̂ = 13.72 − 0.177bs − 0.029𝑙𝑒𝑛𝑟𝑜𝑙𝑙 − 0.691𝑙𝑠𝑡𝑎𝑓𝑓 − 0.00085𝑙𝑢𝑛𝑐ℎ (1)
𝑙𝑎𝑣𝑔𝑠𝑎𝑙
(0.11) (0.122) (0.008) (0.018) (0.00016)
𝑛 = 1,848, 𝑅2 = 0.483, 𝑅̅2 = 0.481

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b. (4%) Report on what happened to bs (in comparision to what was estimated in part (a)).
c. (2%) Interpret the coefficient on lstaff. Why do you think it is negative?
d. (4%) Test the overall significance of all independent variables
𝑅2 1−𝑅 2 𝑆𝑆𝑅𝑟 −𝑆𝑆𝑅𝑢𝑟 𝑆𝑆𝑅𝑢𝑟
(𝐹 = ⁄ ,𝐹 = ⁄ )
𝑘 𝑛−𝑘−1 𝑞 𝑛−𝑘−1

with (𝑛 − 𝑘 − 1): degrees of freedom of unrestricted model; 𝑞: number of restrictions to be


tested.
e. (2%) Explain how the lunch variable (with values ranging from 0 to 100 in this sample, in
percentage number) can be used as a proxy to estimate for the impact of poverty on the
dependent variable.

Add 𝑙𝑢𝑛𝑐ℎ2 to Equation (1) to get


̂ = 13.83 − 0.166bs − 0.034𝑙𝑒𝑛𝑟𝑜𝑙𝑙 − 0.702𝑙𝑠𝑡𝑎𝑓𝑓 − 0.0036𝑙𝑢𝑛𝑐ℎ + 0.000032𝑙𝑢𝑛𝑐ℎ2 (2)
𝑙𝑎𝑣𝑔𝑠𝑎𝑙
(0.113) (0.121) (0.0085) (0.0184) (0.00052) (0.0000057)
𝑛 = 1,848, 𝑅2 = 0.491, 𝑅̅2 = 0.490, 𝑆𝑆𝑅 = 50.978, 𝐹 − 𝑣𝑎𝑙𝑢𝑒𝐵𝑟𝑒𝑢𝑠𝑐ℎ−𝑃𝑎𝑔𝑎𝑛 = 9.51

f. (4%) Perform the significance test on the 𝑙𝑢𝑛𝑐ℎ2 term

Equation (2) with 𝑙𝑢𝑛𝑐ℎ and 𝑙𝑢𝑛𝑐ℎ2 restricted to be zero can be estimated as follows
̂ = 13.86 − 0.290bs − 0.033𝑙𝑒𝑛𝑟𝑜𝑙𝑙 − 0.717𝑙𝑠𝑡𝑎𝑓𝑓 (3)
𝑙𝑎𝑣𝑔𝑠𝑎𝑙
(0.110) (0.121) (0.0085) (0.0179)
𝑛 = 1,848, 𝑅2 = 0.475, 𝑅̅2 = 0.474, 𝑆𝑆𝑅 = 52.597
g. (4%) Test the joint significance of two variables 𝑙𝑢𝑛𝑐ℎ and 𝑙𝑢𝑛𝑐ℎ2
h. (4%) Compute the turning point (minimum value) in the quadratic, and show that it is
within the range of the observed data on lunch.
i. (2%) Based on the findings from parts (e), (f), (g) and (h), describe how teacher salaries
relate to school poverty rates. In terms of teacher salary, and holding other factors fixed, is it
better to teach at a school with 𝑙𝑢𝑛𝑐ℎ = 0 (no poverty), 𝑙𝑢𝑛𝑐ℎ = 50, or 𝑙𝑢𝑛𝑐ℎ = 100 (all kids
eligible for the free lunch program)?
j. (2%) Clearly state the Breusch – Pagan test for heteroskedasticity in Equation (2)
k. (2%) Report the Breusch – Pagan test result in Equation (2): Is the null hypothesis
rejected? Give some comments.

....... END OF EXAMINATION PAPER.......


Statistical tables are printed in the next pages

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