Stochastic regressors Flashcards
1
Q
If the X variables are random then it is difficult to prove:
A
Unbiasedness
2
Q
You cannot take a variable outside the expectations operator if it is a:
A
Random variable
3
Q
An estimator is consistent if it converges on the true value as the sample size:
A
Becomes large
4
Q
If O(hat)t = O, we say O(hat)t is an:
A
Unbiased estimator of O
5
Q
The OLS estimator is only consistent if:
A
sigma(xu) = 0
6
Q
What are some reasons the X variable may be correlated with the error?
A
- There are omitted variables which are correlated with the X variables
- The X variable is measured with error
- The equation is one equation taken from a set of simultaneous equations
- The RHS variables include lagged endogenous variables
7
Q
X is defined as predetermined if:
A
E(X(t)u(t+i) = 0
8
Q
If the RHS variables of a regression model are predetermined then OLS will give:
A
Consistent parameter estimates
