高级计量经济学(厦门大学) 中国大学mooc慕课答案2024版 m244141

第三章 经典线性回归模型 Quiz 1

1、 Consider the following data generating process (DGP) where  and  are mutually independent . Find the unconditional mean .

答案: 0

2、 Consider the following data generating process (DGP) where  and  are mutually independent . Find the conditional mean 

答案:

3、 Consider the following data generating process (DGP) where  and  are mutually independent . Find the marginal effect of  on, 

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4、 Consider the following data generating process (DGP) where  and  are mutually independent . Suppose now a linear regression model where , is specified to approximate this DGP.Find the best LS approximation coefficient :

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5、 Consider the following data generating process (DGP) where  and  are mutually independent . Suppose now a linear regression model where , is specified to approximate this DGP.Find the best linear LS predictor 

答案:

6、 Suppose  where random variables  and  are independent, and  and Find 

答案: 0

7、 Suppose  where random variables  and  are independent, and  and Find 

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8、 Choose the assumption that is not required for the consistency of OLS estimator : for 

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9、 Choose the assumption that is not required for the normality of  that for any nonstochastic  matrix , we have ：

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10、 Consider the following two bivariate linear regression models for the same   where . Find the correct relation between two OLS estimators  and 

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11、 Consider the following two bivariate linear regression models for the same   where . Find the correct relation between two centered ,  and  :

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12、 Using the college GPA data on 123 college students, the following equation was estimated by OLS: where colgpa' is measured on a four-point scale,hsperc’ is the percentile in the high school graduating class (defined so that, for example, hsperc=5 means the top 5% of the class), and exam' is the combined scores on the student college entrance test. Find the correct F-statistic to conduct thetest for the null '<img src="http://edu-image.nosdn.127.net/_PhotoUploadUtils_9218eee8-74f9-4070-bb22-837aa3bbc047.png" /> neitherhsperc’ nor `exam’ has impact on college GPA’.

答案:

13、 Assumption 3.1 ([Linearity]: ) imply a causal relationship from  to .

答案: 错误

14、 If  is i.i.d. (independently and identically distributed) random sample and  for all , Assumption 3.2 ([Strict Exogeneity]) holds.

答案: 正确

15、 Suppose Assumptions 3.1-3.3(a) and 3.4 hold. When  does not grow with , the OLS estimator is well-defined, but it is biased.

答案: 错误

16、 The first order condition (FOC) of OLS  does not hold if Assumption 3.2 ([Strict Exogeneity] ) does not hold.

答案: 错误

17、 If  does not contain the intercept, then the orthogonal decomposition identity no longer holds.

答案: 正确

18、 Consider the extended production function where  is a dummy variable indicating whether firm  is granted autonomy, and  is the profit share of firm  with the state. To test whether the production technology exhibits the constant return to scale (CRS), we setup the null hypothesis as follows: Even though there are two parameters subject to the test, T-test and F-test are available for this null hypothesis test.

答案: 正确

19、 The -test and associated procedures are valid even when there exists near-multicolinearity.

答案: 正确

20、 If the -test statistic does not reject the null hypothesis  for the omitted variables ( all coefficients of omitted regressors), it implies that the linear regression model is correctly specified.

答案: 错误

第五章 非独立样本的线性回归模型 Quiz 2

1、 Which of the following assumption is NOT required in Chapter 4?

答案:

2、 Which of the following is NOT true about Assumption 4.4, regarding  ?

答案: The main diagonal elements of  are ‘s for 

3、 Which of the following is NOT true about  in Assumption 4.5?

答案:  is not symmetric

4、 The weak law of large numbers and central limit theorem in Chapter 4 can be applied to

答案: i.i.d random sample

5、 Which of the following is not true about Assumptions 4.1–4.5?

答案:  rules out conditional heteroskedasticity

6、 Which of the following is NOT true about strict stationarity?

答案: To define strict stationarity, we need the first two moments of  to be finite.

7、 Which of the following assumption is NOT true about weak stationary time series process ?

答案:  depends on .

8、 Which of the following is NOT true about a white noise process  ?

答案:  depends on .

9、 Which of the following is NOT true about a martingale difference sequence ?

答案:  might be serially correlated.

10、 Which of the following is true about ergodicity?

答案: All of the above.

11、  is equivalent to strict exogeneity assumption, i.e.,  for i.i.d sample.

答案: 正确

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