Questions from Econometrics

Q: Using the matrices of sums of squares and cross products immediately preceding

Using the matrices of sums of squares and cross products immediately preceding section 3.2.3, compute the coefficients in the multiple regression of real investment on a constant, GNP, and the interes...

Q: In the December 1969 American Economic Review (pp. 886–

In the December 1969 American Economic Review (pp. 886–896), Nathaniel Leff reports the following least squares regression results for a cross section study of the effect of age composition on savings...

Q: Is it possible to partition R2? The idea of “hierarchical

Is it possible to partition R2? The idea of “hierarchical partitioning” is to decompose R2 into the contributions made by each variable in the multiple regression. That is, if x1, , xK are entered int...

Q: Consider a data set consisting of n observations, nc complete and

Consider a data set consisting of n observations, nc complete and nm incomplete, for which the dependent variable, yi, is missing. Data on the independent variables, xi, are complete for all n observa...

Q: In (4-13), we find that when superfluous variables

In (4-13), we find that when superfluous variables X2 are added to the regression of y on X1 the least squares coefficient estimator is an unbiased estimator of the true parameter vector, β = (β′1, 0′...

Q: Statewide aggregate production function. Continuing Example 10.1, data

Statewide aggregate production function. Continuing Example 10.1, data on output, the capital stocks, and employment are aggregated by summing the values for the individual states (before taking logar...

Q: In Section 4.9.2, we consider regressing y

In Section 4.9.2, we consider regressing y on a set of principal components, rather than the original data. For simplicity, assume that X does not contain a constant term, and that the K variables are...

Q: Example 4.10 presents a regression model that is used to

Example 4.10 presents a regression model that is used to predict the auction prices of Monet paintings. The most expensive painting in the sample sold for $33.0135M (ln = 17.3124). The height and widt...

Q: Suppose that you have two independent unbiased estimators of the same parameter

Suppose that you have two independent unbiased estimators of the same parameter /with different variances v1 and v2. What linear combination / is the minimum variance unbiased estimator of /

Q: Prove that / where b is the ordinary least squares estimator and

Prove that / where b is the ordinary least squares estimator and k is a characteristic root of X′X.