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Stockholm University Departnent of Statistics Bo Walletin Econometrics | WRITTEN EXAMINATION ‘Monday January 08 2018, 15 -20 Tools allowed: Pocket caleulator Passing rate, 50% of overall total, which 100 points. For detaited grading Criteria, see the course description, ‘The exam will be handed back: Not decided For the maximum number of points on each problem detailed and clear solutions are required. {Pot indicated otherwise, the disturbance tem u; in the models are assumed to fulfill the usual requirements of normality, homoscedasticity and independence. Task 1 (20 points) Assume the model Ye = By + Agt + th whore 1,23, and thal you want to estimate Px. You are suggested the Following estimator that isthe latest value of Y, (V1) ais is frst value (Yi) vided by T= |A. Show that he estimator bis an unbiased estimator of, What assumption do you tse in your derivation? Hint tat by replacing Yzand Y) with what they should be secording to the model. 'B. Derive the variance of b assuming constant eo varianse(o"), Bo you need any fue sumptions in your derivation? ©. Caleulte the relative efficiency ofthe OLS-estimatr offs andthe estimator b {(au(OLS-estimator of ay Vat) when T°. ‘Task 2 (30 points) Below you find data on thee variables (¥, X2 and X3), 8 eovrelation matrix and a regression ‘output forthe model 1: ¥=B B2X2* BsX3 4, ‘A. Whats the value of R-sq(ad) for the simple incr regression oY on X2? Why do OU think itis larger than Rafa) in the ezresion below? B, Perform a simultaneous test of whether the Model 1 can explain any ofthe variation in 'Y. Be carefal when specifying te nll and altemative hypothesis in tems of the Beta Parameters, ext staistic, degrees of freedom, decision ule and draw a conclusion of your test. Use significance level 5%. CC. Ate the individual parameter estimates significantly diferent from zero onthe 5% evel? Specify the null and altemative hypothesis terms ofthe Beta parameters and the test statistic foreach test and comment shertly onthe res. How do you explain the difference in results between the test in task B) andthe tei inthis Task? , Calculate the variance ination factor Fr X2 in the eyression below and presen a short interpretation ofthe square woot of our esl em 3 2 i 4 5 8 a i % 7 4 3 2 0 Correlations: y x2 x2 9.990 230983 989 sion Amabsis:¥ “Theregression egnton is ¥= 089 + 134 Predictor Cool SECoel ? Consiom 089 3504 025 817 XP 1386 O74 6966 Xd ort wise UST OD S= 162048 RSq=98.0% RSaia Analysisof Variance Saree DP S$ NS Regression 252381 26140 Residual Hor 1062 3.66 ‘Taal 6 S333 Source DIE Soq SS x t S2243 ESS when ony X2 is waa explanatory variable x 1 (0.36 Increase in ESS whan X3 is added 10 X2 ‘Task 3 (6 points) Which tno ofthe Following statements are not coret forthe lsscal Finca regression movil with an intercept YF Br + BXat, ©) EuX)= 0. 1 Buap=0 i4y ‘Task 4 G4 points) Background: Ata consultation the following question was presented: Has the Swedish municipalities proviso energy advice any effect on the Swedish households clectricty consumption? “Assume that you make an econometric stay ofthis question by estimating the following modet rm shles (2a) = B+ Baling + BalnPricese + Bilis + Tu * Bal2in + Br I 3100+ tse where jay * consumption of electricity For housing (cottage include) (Mosh) in manicipity # year 1998, source Sttisties Sweden, Fy = means population in municipality year 1998, source Statsties Sweden, Y¥jy_* miean income in thousands SEK in municipal Z year 1998, source Statistics Swen Pricony = prise on electricity in municipality ."éro® per kwh (tt und VAT included), atthe suppliers of elect dat we so in "Fastin Nils Holgrssons undorbara rea genom Sverige En avgifsivdie "year 1998, “tax =m temperature yer 1998 in closest measurement point in municipality, source ‘SMAI, ‘Te information variables (in the made! I2ys and 1.) have been constructed fom Syeons Evaluation of the energy adice in different municipalities, Three categories have been ‘eonsiucted according Bias =O}: "No or ttle volume oF advice” has been given Bax = 0%: middle category. + Category 3 (12a 0, yy = Ds” Fast lange or large volume of advice” fas been siven The following has effected the classification: How long time the energy advie seve has been provided during yar 98, whether the llcstion to energy adviee service fall blow, ‘corresponded to or exuded allocated Fu from the Swedish Eneruy Agency ag judgement of energy saving activities, About 62% ofthe 242 the sty include nics fll into eatewory 1, 18% in -eateyory 2 and 20% in etegory3 Tasks A) Invcrpet the parameter fi B) Interpret the parameter ©) "ACs formal est ofthe hypotesis tal the energy advice hs no est on the houschold consumption of electricity, ziven the or veyressors in the mode, an F= ‘value of 1,0824 was obtained. Crry out the test by first speifying the wll and altemative hypothesis (in terms ofthe Beta parameters ofthe model, then present the {est statistic with assumptions, degrees of fvedom, deision rule (rejection region), Fesull end a conclusion 'D) When testing for potential heteroscedasicity the resession of squared residuals (from the estimation of the model presented earlier) against al regresors and sll egeessrs ‘squared, the squared dummy variables were exclude by the software, Why? E) The R® from the regression in Task D) became 5%. Cary out the test of heteroscdasticity described in Task. “Task $ (10 points) ‘When estimaing the regression model Yi= B+ Xs, with OLS it is assumed that theesimated regression Hine must go through the point (Yor, Xi=5). Given the small thts st below, ealeulate the OLS-estates off and Bs under this assumption, Hint “Transform the dats so you ean use results from the no intereept model (se below). ww nen “The OLS-estimator ofthe parameter inthe no inercept model Y= BX, 0 ts pn BEE. bee Formula sheet, Econometrics I, Fall 2017 1 A BSS whe ~ S(t) ons (3,3) Na) ae ier F Fete ed G8) 02 ad Conte of oti: = EWEN T Ear oF er he mailer rion mY = JN ore Sedat ge ata TENN ee ree ~ 0-8 “Tong Ih ke Comps nae mal wih sie” = SSeS Uy = Hye TRSSeRTa= 8” T= Mo ‘ere the bo i contests ie ova olin at Al gr 4 he vegrsson or the wining (2) gress ‘tafeteomestis (le saison esd ie al pot isu no eter) Woes ets Hogs i gait He 1 epee an hemp Shy eat tats mE ele Gh west egos agin een (oa er ti) Tet lant a he slope Pa ts Rey Ini again the nego aX one rege Hin) Ta state ea th ge Gd Qn oto elven te bt eon Tit satiaie $f ~ Flay hans) “Tests of aoc ‘he Rs st: Fa I uber ac, ee 3 = N+ lab of seats Sinn’ rt cnn slew ioetidae Emole : mon? Z| a 60 0008 or O36 82 | o 03 |e oa tse4 03 ois | 06 | 2287 07 3580 03 eet 09 3139 a3 19 1a | 260 12 | 3ei9 13 (son V4 |e 3 us 25 | ao 0 | say 0 oe a7 is 1980 ano tae 308 266s “ees 55 46 ‘set a8 ‘56 00 m0 4938 66 ‘ors “a 8? 96) =04750 neste 20s os asi 10 193 tt ner lan ‘ser base Bias 08 507 4082 ane 0 084 582 “a6 are 38 aan 315, 00, 4937 3983 2160 ss? mst 1700 2309 rou 29s et 3a aoa “89 ast “382 4005 sat ane 3 axe as as 39 ‘a7 eat 199 D386 98? 2088 2022 ane 53 289 ssn ove Plt t ample rigs 204s) 0025 Pei >1725)=008 Pe = 1728 = 010 : oils 3 ssa : 3 5 | 5365 ; es 8 } | 2 5 2680 | te: | Be % BS 3 Bo * ies : a 2 250 2 Fr a | as z Oe | | an % | ne 3 VO ake Se ra ve oa | 3a a 1 et | 2 0 Seo Nash | tomo | 23se : 30 | 336 Ve | vais aa 9825 was his9 | ass 26 | 3055, a bay | i penn sane iio yz sane agtste ns ssa [Sie so se is table conti ued eas tase we appea® Sil es YAELE FOr cates ilo fh Tsetton Example ocr 159) 028 PEE 242)-0.0 tors =10 PCE 318)=005 snd 2 rer = 526) =001 toe - a 5 6 7 a [io ShoSe i 3 is a oy i a a i in ie 7 [fe ie Gn ahs Lk aera ‘ERE ERE Ee See eS Sn Sg gg et ee Fotable contiined 5 3s | hate m2 Apes a TAOLED. Lyper tena Pain lth Brat (Conn) Be 1s a 28 ta ae FAable coatinuee| TABLE D.3 oper Ferete Pitt Firat (Comin) ‘sen terrae us @ |e a ia Ftadle Coiduued Agere citi EXAMPLE Winn andt’= 44,= 1285 andy = 1.72. acorynted ds es han 285, ‘hoe nee pie lesoersal eon Wai pt a72 ae Io encene a oa irda arson It ds cen eben i pr ini ha i nconcsveeianesrepaning ha sence atence pone dee, lee Stockholms vepartment of Statistics universitet Correction sheet Date: 6/01/2018 Roo! /artasalen Course: Econometrics (eng) Exam: Econometrics I (eng) Anonymous code: [evi-1uw-8x0l {& L authorise the anonymous posting of my exam, in whole or in part, on the department homepage as a sample student answer. 2] Fatal number ‘pEPARTMENT OF STATISTICS vo: VOAASOALL Anonymous code:S-TW-Bsheet number: raASET Ver@i Gk tUe, here L238 pr Ye -Mit Qitbets us -(Birbe tw) 2 Soe YG BeT + ur Re Ht = Bat-Ge uw = etrafeur- us ECHL (HEN Eb ERT EUS SL E(BLODY LEtbe) = 62 Ta 4 t Eeuesors ECB) =a S& Gr Var eurmatoe WWF. eur eu) = M8: By dup yes) v ory ai te % Ve Ved) Va CVU) = on Zl eit (arss)_ +3 TU Mee lala Ai vad = f ets gereg: (G) G5 gk - Bg. 8-08 Shei e/g Oh BR BE OY , DEPARTMENT OF STATISTICS Frcom: N&CYOSGI2M Anonymous code:€k!=TUN-B2Wsheet number: —%. 7 : 7 K 2 TNR: Oaks + GMs +O CATESS: oi UST Har Wbara anVERder ka Som eA, Rirelorande vanaloe FP MS 210.88, f R= ve Ta Was 2 6.995” E Bas = ~ ae its LEE SQlaay =93.5°%o[ Dao de eas Wo blink Hegre! 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Gs Ar her mycket hushaliens Fensom hen av el Penbndras, pdr Man studerdr domisom Patt my VBIQW MAG OF Ee) Leategod SB), Jamfect med med_dom som Pk \ike cada ning, akegor 1), Giver abt Phd medelinkomst och Lemperadur Halts Koostiant Helter her Cedars lec test npek Bagisnr rags an at __hinte War nB gon effect p& hushdllens konsamibion ov eM Dus,mon har Lestat iPoll us lothtver indikutorva seller, “aller inte. | “Het Be = Ba +01 Yat Minst|en Stilyer ag BE“ O=0.05 7 #5 Bai! EP ais Ra os Bey in. sat Vi ‘ehikaator We ¢ om Foos > FG jas) Ta a00) 43.80 Fetoaa SwariVi kon inke fervasta He Ak Fes < 3.89 7 Miket inneoar ol energy rBckgwningen inte hor n&goi eR fekce pe hor mays 2) Som hughEllen konsumerat 2 Indikoterrenaloiersc i i Kvadroad utesiuts fren Lester $4 EUREsorN abt vet ort aclessc. inte/( / Rar intigos paverken PE Mrodellen, >) iM E, Ni kommer ct otra Wines Lest Perot Lesta ‘om wheleroskeplasiscs tet PEreliqner i modelien, HetHamostedaisheitel Wot Veleroskecloghiciteh ae ARE ~ opprox LACE) L- 382 -0.058 214.616 Swart ons

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