Submitted By jihs

Words 1189

Pages 5

Words 1189

Pages 5

This exam is closed-book and closed-notes. You may use your calculator. You have 75 minutes to complete this exam. The total number of points on the exam is 100. The total value for each question is given in brackets. Remember that I will not regrade exams written in pencil, and that all problems with the grade must be brought to my attention before a week after I return the exams. Assumptions and critical values are stated in the appendix. No other formulas will be provided.

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I. (18 pts) Consider y = β0 + β1 x1 + . . . + βk xk + u, and let {βj } be the corresponding OLS estimator. Choose between ’True(T)’, or ’False(F)’. (2 pts each)

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1. If βj is consistent, E[βj ] = βj .

2. Under MLR.1 through MLR.5, the OLS estimator

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N (βj − βj ) is asymptotically normal.

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3. If M LR.4 is replaced by M LR.4′ , βj is not consistent.

4. Even though MLR.6 is not true, we can use t−statistic when the sample size is large.

5. Changing the scale of the y variable will lead to a corresponding change in R2 .

6. If y is in the logarithmic form, changing the scale of the y variable will lead to a corresponding change in

R2 .

7. If y is the family income measured in dollars, then it is mostly used in logarithmic form.

8. Standardized coeﬃcient or equivalently beta coeﬃcient measures the change in y when x is changed by one-standard deviation.

9. In the following model: log(y) = β0 + β1 log(x) + u, β1 is the elasticity of y with respect to x.

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II. (30 pts) Multiple Choice Questions (3 pts each)

1. Under MLR.1 through MLR.3 and MLR.4’

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a. βj is unbiased.

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b. βj is consistent.

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c. n(βj − βj ) is asymptotically normal.

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d. βj is BLUE.

2. Suppose the true model is y = 1 + 0.5 x1 + 0.3 x2 + u and Cov(x1 , x2 ) = 0. And the model satisﬁes

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MLR.1 through MLR.4. Instead,…...