lOMoARcPSD|2509324

Tentamen 18 December, antwoorden

Applied Econometrics (Universiteit van Amsterdam)

StudeerSnel wordt niet gesponsord of ondersteund door een hogeschool of universiteit

Gedownload door Adelina Lisman (lisman.adelina@gmail.com)
 lOMoARcPSD|2509324

➞ ❑❛s✐❛ ▲❛s❛❦✱ ❍❛♥s ✈❛♥ ❖♣❤❡♠ ❛♥❞ ❆♥❞r❡✐ ❙✐r❝❤❡♥❦♦✱ ❆❙❊✲❯✈❆✱ ❉❡❝❡♠❜❡r ✷✵✶✽✳

❋✐♥❛❧ ❆♣♣❧✐❡❞ ❊❝♦♥♦♠❡tr✐❝s ✲ ❉❡❝❡♠❜❡r ✶✾t❤✱ ✷✵✶✽✳

◗✉❡st✐♦♥ ✶ ✭✇❡❡❦s ✶✰✷✿ ■♥tr♦❞✉❝t✐♦♥ t♦ t✐♠❡ s❡r✐❡s✮

❛✮✳ ❚❤❡ ❢♦r❡❝❛sts ❛r❡

YT +1|T = E(YT +1 |YT , YT −1 , ...) = 0.4YT ,

YT +2|T = E(YT +2 |YT , YT −1 , ...) = 0.4E(YT +1|T ) = (0.4)2 YT ✳

❜✮✳ ❚❛❦✐♥❣ T = 100, ✇❡ ❣❡t

Y101|100 = 0.4Y100 = 0.4 × (−1.6) = −0.64,

Y102|100 = (0.4)2 × (−1.6) = −0.256✳

❝✮✳ ❚❤❡ ♦♥❡✲ ❛♥❞ t✇♦✲st❡♣ ❢♦r❡❝❛st ❡rr♦r ✈❛r✐❛♥❝❡s ❛r❡✿

V ar(et (1)) = V ar(uT +1 ) = 1,

V ar(et (2)) = V ar(0.4uT +1 + uT +2 ) = (0.4)2 + 1 = 1.16✳

❞✮✳ ❚❤❡ 1✲ ❛♥❞ 2✲st❡♣ ❛❤❡❛❞ ❢♦r❡❝❛sts ❛r❡

YT +1|T = E(0.4YT + εT +1 + 0.6εT |YT , YT −1 , ...) = 0.4YT + 0.6εT ,

YT +2|T = E(0.4YT +1 + εT +2 + 0.6εT +1 |YT , YT −1 , ...) = 0.4YT +1|T
= 0.4(0.4YT + 0.6εT ) = (0.4)2 YT + 0.4 × 0.6εT ✳

◆♦t❡ t❤❛t ❣✐✈❡♥ t❤❡ ✐♥❢♦r♠❛t✐♦♥ ✭❦♥♦✇♥ ♣❛r❛♠❡t❡rs✮✱ ❛❧❧ εt , t ≤ T ❝❛♥ ❜❡ ❝❛❧❝✉❧❛t❡❞ ❛♥❞ t❤❛t ♦❢
❝♦✉rs❡ t❤✐s ✐♥❢♦r♠❛t✐♦♥ s❤♦✉❧❞ ❜❡ ✉s❡❞✳

◗✉❡st✐♦♥ ✷ ✭✇❡❡❦s ✸✰✹✿ ◆♦♥st❛t✐♦♥❛r② t✐♠❡ s❡r✐❡s✮

❛✮✳ H0 : ✉♥✐t r♦♦t ✇✐t❤ ❞r✐❢t✱ H1 : tr❡♥❞ st❛t✐♦♥❛r② ♣r♦❝❡ss✱ ❉❋✲st❛t✐st✐❝s✿ ✲✸✳✶✼✱ ♣✲✈❛❧✉❡✿ ✵✳✵✾ ❃✵✳✵✺
✭s✐❣♥✐✜❝❛♥❝❡ ❧❡✈❡❧✮✱ t❤❡r❡❢♦r❡ ✇❡ ❞♦ ♥♦t r❡❥❡❝t t❤❡ ♥✉❧❧✳ ❈♦♥❝❧✉s✐♦♥✿ ✉♥✐t r♦♦t ♣r♦❝❡ss ✇✐t❤ ❞r✐❢t
✭❛♥❞ ❛❧s♦ ✇✐t❤ ❧✐♥❡❛r tr❡♥❞✮
❜✮✳ H0 : ✉♥✐t r♦♦t ✇✐t❤ ❞r✐❢t✱ H1 : st❛t✐♦♥❛r② ♣r♦❝❡ss✱ ❉❋✲st❛t✐st✐❝s✿ ✲✵✳✵✽✾✱ ♣✲✈❛❧✉❡✿ ✵✳✾✺✵✻ ❃✵✳✵✺
✭s✐❣♥✐✜❝❛♥❝❡ ❧❡✈❡❧✮✱ t❤❡r❡❢♦r❡ ✇❡ ❞♦ ♥♦t r❡❥❡❝t t❤❡ ♥✉❧❧✳ ❈♦♥❝❧✉s✐♦♥✿ ✉♥✐t r♦♦t ♣r♦❝❡ss ✇✐t❤ ❞r✐❢t
❝✮✳ ◆♦♥❡ ♦❢ t❤❡♠✱ ❜❡❝❛✉s❡ t❤✐s ✐s ❛ ✉♥✐t r♦♦t ♣r♦❝❡ss✳ ❖♥❡ s❤♦✉❧❞ r✉♥ t❡st ✐♥ ❛✮ ❜❡❝❛✉s❡ ✐t ❝❛♥ ❜❡
❤❛r♠✉❧ t♦ ♦♠✐t s✐❣♥✐✜❝❛♥t tr❡♥❞ ❛♥❞ ✇❡ ❞♦ ♥♦t ❤❛✈❡ ❛♥② ❜❛s✐s ❤❡r❡ ❢♦r r❡♠♦✈✐♥❣ ✐t✳

Gedownload door Adelina Lisman (lisman.adelina@gmail.com)

 lOMoARcPSD|2509324

➞ ❑❛s✐❛ ▲❛s❛❦✱ ❍❛♥s ✈❛♥ ❖♣❤❡♠ ❛♥❞ ❆♥❞r❡✐ ❙✐r❝❤❡♥❦♦✱ ❆❙❊✲❯✈❆✱ ❉❡❝❡♠❜❡r ✷✵✶✽✳

◗✉❡st✐♦♥ ✸ ✭✇❡❡❦s ✺✰✻✿ ❆❞✈❛♥❝❡❞ P❛♥❡❧ ❉❛t❛ ▼❡t❤♦❞s✮

❛✮✳ ❚✇♦ ♣❛rts✿

✭✐✮ ❨❡s✿ t♦ ❛❧❧♦✇ ❢♦r s❡r✐❛❧ ❝♦rr❡❧❛t✐♦♥ ❜❡t✇❡❡♥ ✭❡✳❣✳✮ △εit = εit −εit−1 ❛♥❞ ∆εit−1 = εit−1 −εit−2
✭❞✉❡ t♦ t❤❡ ❝♦♠♠♦♥ ❡❧❡♠❡♥t✮✳
✭✐✐✮ ❖▲❙✿ ❚❤❡ ❧❛❣❣❡❞ ❘✫❉ ✈❛r✐❛❜❧❡ ✐s ❡♥❞♦❣❡♥♦✉s ❜❡❝❛✉s❡ ✐t ❝♦rr❡❧❛t❡s ✇✐t❤ ∆εit ✭❛♥❞ ✇✐t❤
εit−1 ✐♥ ♣❛rt✐❝✉❧❛r✮✳ ■❢ t❤❡r❡ ✐s ♥♦ ❡♥❞♦❣❡♥❡✐t②✱ ❖▲❙ ✇♦✉❧❞ ❜❡ t❤❡ ♠♦st ❡✣❝✐❡♥t ❡st✐♠❛t✐♦♥
♠❡t❤♦❞✱ ❜✉t t❤✐s ❝❛♥ ❜❡ r✉❧❡❞ ♦✉t✳
■❱✿ ❚❤❡ ❡①t❡r♥❛❧ ✐♥str✉♠❡♥ts ♥❡❡❞ t♦ ❜❡ r❡❧❡✈❛♥t ❛♥❞ ❡①♦❣❡♥♦✉s✳ ■❢ t❤❛t ✐s t❤❡ ❝❛s❡ t❤❡
❡st✐♠❛t✐♦♥ ✇✐❧❧ ②✐❡❧❞ ❝♦♥s✐st❡♥t ❡st✐♠❛t❡s✳ ❉❡♣❡♥❞✐♥❣ ♦♥ t❤❡ str❡♥❣t❤ ♦❢ t❤❡ ✐♥str✉♠❡♥ts✱
■❱ ❝❛♥ ♣❡r❢♦r♠ ❜❡t❡r t❤❛♥ ●▼▼✳
●▼▼✿ ❚❤❡ ✐♥t❡r♥❛❧ ✐♥str✉♠❡♥ts s❤♦✉❧❞ ❜❡ r❡❧❡✈❛♥t ❛♥❞ ❡①♦❣❡♥♦✉s✳ ❖❢t❡♥ ❡❛s✐❡r t♦ r❛t✐♦✲
♥❛❧✐③❡ t❤❛♥ ❢♦r ❡①t❡r♥❛❧ ✐♥str✉♠❡♥ts✳ ❖♥ t♦♣ ♦❢ t❤❛t✱ ●▼▼ ✐s ❛ ♠♦r❡ ❡✣❝✐❡♥t ❡st✐♠❛t✐♦♥
♠❡t❤♦❞ ❞✉❡ t♦ t❤❡ ✉s❡ ♦❢ ❛♥ ♦♣t✐♠❛❧ ✇❡✐❣❤✐♥❣ ♠❛tr✐①✳ ✭◆♦t❡ ❤♦✇❡✈❡r t❤❛t ❡✣❝✐❡♥❝② ❤❡r❡
❝❛♥ ♥♦t ❜❡ ❝♦♠♣❛r❡❞ ❜❡❝❛✉s❡ ♦❢ t❤❡ ✉s❡ ♦❢ ❞✐✛❡r❡♥t ✐♥str✉♠❡♥ts✮✳
Pr❡❢❡r❡♥❝❡✿ ■❱ ♦r ●▼▼ ❜✉t ❞❡♣❡♥❞s ♦♥ t❤❡ q✉❛❧✐t② ♦❢ t❤❡ ❡①t❡r♥❛❧ ❛♥❞ ✐♥t❡r♥❛❧ ✐♥str✉♠❡♥ts✳
❜✮✳ ❆❣❛✐♥ t✇♦ ♣❛rts✿
✭✐✮ ❚❤❡ ✜①❡❞ ❡✛❡❝t ♥❡❡❞s t♦ ❜❡ r❡♠♦✈❡❞ t♦ r❡♠♦✈❡ t❤❡ ♣♦t❡♥t✐❛❧ ❡♥❞♦❣❡♥❡✐t② ❞✉❡ t♦ ♦♠✐tt❡❞
✈❛r✐❛❜❧❡s✱ ♠❡s✉r❡♠❡♥t ❡rr♦r✱ s❡❧❡❝t✐✈✐t② ❡t❝✳✿ t❤❡ ❡①♣❧❛♥❛t♦r② ✈❛r✐❛❜❧❡s ♠✐❣❤t ❝♦rr❡❧❛t❡ ✇✐t❤
t❤❡ ✜①❡❞ ❡✛❡❝t✳
✭✐✐✮ ❉✉❡ t♦ t❤❡ ❧❛❣❣❡❞ ❞❡♣❡♥❞❡♥t ✈❛r✐❛❜❧❡ ❛s ❛ r❡❣r❡ss♦r✱ s✉❜tr❛t✐♥❣ t❤❡ ❛✈❡r❛❣❡ ✇♦✉❧❞ ✐♥tr♦❞✉❝❡
❡✈❡♥ ♠♦r❡ ❡♥❞♦❣❡♥❡✐t② ❜❡❝❛✉s❡ ❛❧❧ ❡rr♦r t❡r♠s (εit ✐s ✐♥ ε̄ ❢♦r i = 1, .., T ) ✇♦✉❧❞ ❜❡ ✐♥
t❤❡ s♣❡❝✐✜❝❛t✐♦♥✳ ❙♦ s♦❧✈✐♥❣ ❢♦r ❡♥❞♦❣❡♥❡✐t② ✇✐❧❧ ❜❡ ✈❡r② ❤❛r❞ ❞✉❡ t♦ ❛ ❧❛❝❦ ♦❢ ✐♥t❡r♥❛❧
✐♥str✉♠❡♥ts ✭str✐❝t ❡①♦❣❡♥❡✐t② ❛ss✉♠♣t✐♦♥ ♥❡❝❡ss❛r②✮✳ ❋✐rst ❞✐✛❡r❡♥❝✐♥❣ r❡s✉❧ts ✐♥ ♦♥❧②
❧❛❣❣❡❞ ❡rr♦r t❡r♠s ❜❡✐♥❣ ♣❛rt ♦❢ t❤❡ s♣❡❝✐✜❝❛t✐♦♥✱ s♦ ✐t ✐s ❡❛s✐❡r t♦ ✜♥❞ ✐♥t❡r♥❛❧ ✐♥str✉♠❡♥ts
✭✇❡❛❦ ❡①♦❣❡♥❡✐t② ✐s ❡♥♦✉❣❤✮✳ ❯s✐♥❣ ❞❡✈✐❛t✐♦♥s ❢r♦♠ t❤❡ ♠❡❛♥ ✐s ❛s s✉❝❤ ❛ ♠♦r❡ ❡✣❝✐❡♥t
❡st✐♠❛t✐♦♥ ♠❡t❤♦❞✳
❝✮✳ ❚✇♦ ♣❛rts✿
✭✐✮ ❆ ❞❡t❡r♠✐♥✐st✐❝ tr❡♥❞ ✐♥ ❘✫❉✳ ❚❤❡ ♦♥❧② ✇❛② ✇❡ ❝❛♥ ❤❛✈❡ ❛ ❝♦♥st❛♥t ✐♥ t❤❡ ♠♦❞❡❧ ✐s ✐❢ t❤❡
♦r❣✐♥✐❛❧ ♠♦❞❡❧ r❡❛❞✿ R&Dit = γ + β0 t + β1 R&Dit−1 + β2 Xit−1 + αi + ηt + εit ✳ ❚❤❡ q✉❡st✐♦♥
✐s ✇❤❡t❤❡r ❛ tr❡♥❞ ✐♥ ❘✫❉ ♠❛❦❡s s❡♥s❡ ❢r♦♠ ❛ t❤❡♦r❡t✐❝❛❧ ♣♦✐♥t ♦❢ ✈✐❡✇✳
✭✐✐✮ ▲❙❉❱ r❡♣r❡s❡♥t❛t✐♦♥ ♦❢ ❛ t✐♠❡ ✜①❡❞ ❡✛❡❝t ✭ηt ✐♥ t❤❡ ♣r❡✈✐♦✉s ❡q✉❛t✐♦♥✮✳ ❊ss❡♥t✐❛❧ ❤❡r❡
✐s t❤❛t ❛❣❛✐♥ t❤❡ r❡❣r❡ss♦rs ❝❛♥ ❝♦rr❡❧❛t❡ ✇✐t❤ t❤❡s❡ t✐♠❡ ✜①❡❞ ❡✛❡❝ts ❛♥❞ ✐❣♥♦r✐♥❣ ✐t ✇✐❧❧
❣✐✈❡ ✐♥❝♦♥s✐st❡♥t ❡st✐♠❛t❡s✳ ❚❤✐s ❝♦rr❡❧❛t✐♦♥ ❞♦❡s ♥♦t ♦♥❧② ❝♦♠❡ ❢r♦♠ ♦♠✐tt❡❞ ✈❛r✐❛❜❧❡s ❜✉t
♠✐❣❤t ❛❧s♦ ❜❡ ❞✉❡ t♦ ♠❡❛s✉r❡♠❡♥t ❡rr♦rs✱ s❡❧❡❝t✐✈✐t② ❡t❝✳

Gedownload door Adelina Lisman (lisman.adelina@gmail.com)