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15 views

MidTermTest_MA_Econometrics_April_2020_public_index22 (1)

Feco

Uploaded by

Quý Nguyễn
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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MIDTERM EXAMINATION INDEX 22

FINANCIAL ECONOMETRICS

Head of Department of Lecturer Student ID: Date:


Mathematics

Name: April 2020

INSTRUCTIONS:

1. This is a group assignment. Please remember to write down your team member names and
exam paper index.

2. You are not allowed to copy from each other.

3. You should not send out this exam paper file. If you send out this exam paper file, some points
will be deducted (I can easily find out since the exam index is unique for each team).

You should submit the pdf file on Blackboard before Saturday 25 April at 13:00. The pdf file can be
prepared with Word, or scanned from a handwritten paper.

Question 1. (10 points) What 5 assumptions are usually made about the
unobservable error terms in the Classical Linear Regression Model? Briefly
explain the meaning of each.

Question 2. (15 points) Which of the following models can be estimated using
Ordinary Least Squares, where x,y,z are the variables and  ,  ,  are the
parameters to be estimated?

a) yt = e xt e t
u

b) yt =  2 +  xt + ut

c)ln( yt ) =  + + ut
ln( xt )
d ) yt =  +  xt zt + ut

1
Question 3. (20 points) In an estimated simple regression model, based on 34
observations, the estimated slope parameter is 0.310 and the estimated standard
error is 0.082.

a) Test the null hypothesis that the slope is positive against the alternative
that it is negative at the 5% level of significance.

b) Test the null hypothesis that the estimated slope is 0.5, against the
alternative that it is not, at the 5% level of significance.

Question 4. (15 points) For this question, you are given the following data

 1.3 2.1 −1.4   −1.6 


   
( X ' X )−1 =  2.1 0.8 1.9  , ( X ' y) =  2.9  ,
 −1.4 1.9 3.4   0.8 
  
s 2 = 0.86 , T = 103

The regression equation is yt = 1 + 2X2t + 3X3t + ut

( )
a) What are the values for ˆ1 , ˆ2 , ˆ3 ?

( )
b) What are the Standard Errors of ˆ1 , ˆ2 , ˆ3 ?

Question 5 (20 points) using the formula to estimate the coefficients in a


simple linear regression model using OLS. The dependent variable is nominal
GDP or real GDP.

2
Question 6. (20 points)

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