University of Calcutta

B.A/ B. Sc Semester II Examination 2020

(Through Jogamaya Devi College)
Economics Advance
Economics Core Course X: ECO-A-CC-10
Introductory Econometrics
SEMESTER 4
Theoretical

Candidates are required to give their answers in their own words as far as
practicable

Duration: 1 hour
(SUBMIT YOUR ANSWER SCRIPT IN PDF FILE TO economicsjdc@gmail.com)
Full Marks: 65

Group-A
1. Answer any five 5x5=25

(b) Explain with reason whether the statement is true or false: If the correlation between
two variables is zero, this indicates that there is no relation between the two variables

(c) In a 2-variable linear regression model Yi = β 1 + β 2 X i + u i Show that the assumption

Var (u i X i ) = σ 2 leads to Var (Yi X i ) = σ 2

(d) In a three - variable linear regression model, let r12 = r13 = 0.59 and r23 = −0.18 then
calculate the value of r123

(e) What is the difference between ‘model specification error’ and ‘model mis-
specification errors’? Explain with examples
(f) In a two regressor regression model the correlation between a relevant omitted variable
and the included variable is negative, what will be the effect on the coefficient of the included
variable? If that correlation is positive will the effect be different? Explain.
(g) When does heteroscadasticty arise? Distinguish between ‘pure’ and ‘impure’
heteroscadasticity
 (h) What is meant by ‘multi collinearity? Distinguish between ‘perfect and ‘imperfect’
collinearity.
(i) Write a short note on joint hypothesis testing in multiple regression analysis.
(j) Distinguish between conditional and unconditional forecasting

Group –B
Answer any two 2X20=40

4. (a) Distinguish between ‘error’ term and ‘residual in linear regression model. 10

5. State with brief reason whether the following statements are true or false:
(a) In the presence of heteroscadsticity OLS estimators are biased as well as inefficient
(b) If heteroscadasticity is present, the conventional t and F tests are invalid 10+10
6. (a) Consider the following models:

Model A: Yt = α 1 + α 2 X 2t + α 3 X 3t + u1t

Model B: (Yt − X 2t ) = β 1 + α 2 X 2t + β 3 X 3t + u 2t

(i) Will OLS estimates of α 1 and β1 be the same? Why?

(ii) Will OLS estimates of α 3 and β 3 be the same? Why?
(iii)What is the relationship between α 2 and β 2 ?
(iv) Can you compare R 2 terms between the two models? Why or why not?

(b) In a three-variable linear regression model, is R 2 ≠ r122 + r132 always true? If yes, why? If
not, why?