Econometrics Tentamen 1

Question 1

SSR

Answer 1

Sum of Squared Residuals

Question 2

TSS

Answer 2

Total Sum of Squares

Question 3

ESS

Answer 3

Explained Sum of Squares

Question 4

R^2

Answer 4

1 - SSR/TSS

Question 5

If the model has an intercept, then TSS = …

Answer 5

ESS + SSR

Question 6

Beta 1 Estimator (model with intercept)

Answer 6

write down. Also equal to covariance (X, Y) divided by variance of X, also equal to the variance of Y divided by variance of X scaled by the correlation coefficient of X and Y

Question 7

Beta 1 Estimator (without intercept)

Answer 7

write down

Question 8

How do we rewrite the B1 estimator to not include Y?

Answer 8

write down

Question 9

SER

Answer 9

Standard Error of Regression

Question 10

Write down the F.O.C. of the OLS estimator

Answer 10

Do it

Question 11

Chebychev’s inequality

Answer 11

Write down

Question 12

Cov(Xi, u_i) = … (under ass. 1)

Answer 12

0 –> because of exogeneity assumption, then also corr(Xi, ui) = 0

Question 13

E(a + bX + xY) = …

Answer 13

a + bmu_x = cmu_y

Question 14

var(a + bY) = …

Answer 14

b^2sigma^2_Y

Question 15

var(aX + bY) = …

Answer 15

.

Question 16

E(Y^2) = ..

Answer 16

.

Question 17

cov(a + bX + cV, Y) = …

Answer 17

.

Question 18

E(XY) = …

Answer 18

.

Question 19

what do we know when X and Y have nonzero finite kurtosis?

Answer 19

Large outliers are unlikely (assumption #3 is satisfied), it implies that the var(X) and var(Y) is finite

Question 20

Rewrite the sample covariance:

Answer 20

…