Final Exams Exercises Flashcards
What is the core idea of the Mean Group Estimator?
To just OLS for every group and then take the mean
What is a homogeneous panel data model?
A model where \beta is the same everywhere
When having derived a limiting distribution, what is a property it should have?
It should not have nuisance parameters and should defenitely need to be a distribution
How are the estimators that solve the Nickell-bias called?
The Anderson-Asaio; Arrelano and Bond estimators
What are the one-way, two way error and interactive fixed effects models?
What is the Fixed Effects estimator?
Name a AR that is always I(2)
x_t = x_{t-1} + x_{t-2} + e_t
What are the advantages of using structural form?
- You can add contemporeneous effects (which are common in economic analysis)
- You can impose restrictions on the new parameters
When showing stationarity of beta’ w_t, what should be the first step?
Start with \beta’ \Delta w_t, and start rewriting
Does Dicky-Fuller support serial correlation?
No, but the ADF or Phillips-Perron does
