Questions from Econometrics

Q: In Example 7.1, the cES function is suggested as

In Example 7.1, the cES function is suggested as a model for production, / (7-36) Example 6.19 suggested an indirect method of estimating the parameters of this model. The function is linearized aroun...

Q: For the Wald distribution discussed in Example 13.3,

For the Wald distribution discussed in Example 13.3, we have the following results / a. Derive the maximum likelihood estimators of  and  and an estimator of the a...

Q: In the classical regression model with heteroscedasticity, which is more efficient

In the classical regression model with heteroscedasticity, which is more efficient, ordinary least squares or GMM? Obtain the two estimators and their respective asymptotic covariance matrices, then p...

Q: Consider the probit model analyzed in Chapter 17. The model states

Consider the probit model analyzed in Chapter 17. The model states that for given vector of independent variables, Consider a GMM estimator based on the result that This suggests that we might base es...

Q: Consider GMM estimation of a regression model as shown at the beginning

Consider GMM estimation of a regression model as shown at the beginning of Example 13.8. Let W1 be the optimal weighting matrix based on the moment equations. Let W2 be some other positive definite ma...

Q: Assume that the distribution of x is / In random

Assume that the distribution of x is In random sampling from this distribution, prove that the sample maximum is a consistent estimator of θ. Note: You can prove that the maximum is the m...

Q: In random sampling from the exponential distribution // find the

In random sampling from the exponential distribution // find the maximum likelihood estimator of θ and obtain the asymptotic distribution of this estimator.

Q: Mixture distribution. suppose that the joint distribution of the two random

Mixture distribution. suppose that the joint distribution of the two random variables x and y is a. Find the maximum likelihood estimators of  and θ and their asymptot...

Q: Suppose that x has the Weibull distribution / a.

Suppose that x has the Weibull distribution a. Obtain the log-likelihood function for a random sample of n observations. b. Obtain the likelihood equations for maximum likelihood estimation of and &iu...

Q: The following data were generated by the Weibull distribution of Exercise 4

The following data were generated by the Weibull distribution of Exercise 4: a. Obtain the maximum likelihood estimates of a and , and estimate the asymptotic covariance matrix for...