Question 1

In a regression model, if variance of the dependent variable, y, conditional on an explanatory variable, x, or Var(y|x), is not constant, _____.

Accepted Answer

A) the t statistics are invalid and confidence intervals are valid for small sample sizes 
B) the t statistics are valid and confidence intervals are invalid for small sample sizes 
C) the t statistics and the confidence intervals are valid no matter how large the sample size is 
D) the t statistics and the confidence intervals are both invalid no matter how large the sample size is 
A) the t statistics are invalid and confidence intervals are valid for small sample sizes 
B) the t statistics are valid and confidence intervals are invalid for small sample sizes 
C) the t statistics and the confidence intervals are valid no matter how large the sample size is 
D) the t statistics and the confidence intervals are both invalid no matter how large the sample size is

Question 2

The LM statistic requires estimation of the unrestricted model only.

Accepted Answer

A) True 
 B)False

Question 3

If OLS estimators satisfy asymptotic normality, it implies that:

Accepted Answer

A) they are approximately normally distributed in large enough sample sizes. 
B) they are approximately normally distributed in samples with less than 10 observations. 
C) they have a constant mean equal to zero and variance equal to   2. 
D) they have a constant mean equal to one and variance equal to   . 
A) they are approximately normally distributed in large enough sample sizes. 
B) they are approximately normally distributed in samples with less than 10 observations. 
C) they have a constant mean equal to zero and variance equal to   2. 
D) they have a constant mean equal to one and variance equal to   .

Question 4

The Cauchy-Schwartz inequality implies that the asymptotic variance of ​   is:

Accepted Answer

A) ​greater than   . 
B) ​less than or equal to   . 
C) ​equal to   . 
D) ​less than   . 
A) ​greater than   . 
B) ​less than or equal to   . 
C) ​equal to   . 
D) ​less than   .

Question 5

Which of the following statements is true under the Gauss-Markov assumptions?

Accepted Answer

A) Among a certain class of estimators, OLS estimators are best linear unbiased, but are asymptotically inefficient. 
B) Among a certain class of estimators, OLS estimators are biased but asymptotically efficient. 
C) Among a certain class of estimators, OLS estimators are best linear unbiased and asymptotically efficient. 
D) The LM test is independent of the Gauss-Markov assumptions. 
A) Among a certain class of estimators, OLS estimators are best linear unbiased, but are asymptotically inefficient. 
B) Among a certain class of estimators, OLS estimators are biased but asymptotically efficient. 
C) Among a certain class of estimators, OLS estimators are best linear unbiased and asymptotically efficient. 
D) The LM test is independent of the Gauss-Markov assumptions.

In a regression model, if variance of the dependent variable, y, conditional on an explanatory variable, x, or Var(y|x), is not constant, _____.

The LM statistic requires estimation of the unrestricted model only.

If OLS estimators satisfy asymptotic normality, it implies that:

The Cauchy-Schwartz inequality implies that the asymptotic variance of is:

Which of the following statements is true under the Gauss-Markov assumptions?

The Nature of Econometrics and Economic Data

The Simple Regression Model

Multiple Regression Analysis Estimation

Multiple Regression Analysis Inference

Multiple Regression Analysis Further Issues

Multiple Regression Analysis With Qualitative Information

Heteroskedasticity

More on Specification and Data Issues

Basic Regression Analysis With Time Series Data

Further Issues in Using Ols With Time Sries Data

Serial Correlation and Heteroskedasticity in Time Series Regressions

Pooling Cross Sections Across Time Simple Panel Data Methods

Advanced Panel Data Methods

Instrumental Variables Estimation and Two Strage Least Squares

Simultaneous Equations Models

Limited Dependent Variable Models and Sample Selection Correctons

Advanced Time Series Topics

Carrying Out an Empirical Project

Filters

Exam 5: Multiple Regression Analysis Ols Asymptotics

In a regression model, if variance of the dependent variable, y, conditional on an explanatory variable, x, or Var(y|x), is not constant, _____.

The LM statistic requires estimation of the unrestricted model only.

If OLS estimators satisfy asymptotic normality, it implies that:

The Cauchy-Schwartz inequality implies that the asymptotic variance of ​ is:

Which of the following statements is true under the Gauss-Markov assumptions?

The Nature of Econometrics and Economic Data

The Simple Regression Model

Multiple Regression Analysis Estimation

Multiple Regression Analysis Inference

Multiple Regression Analysis Further Issues

Multiple Regression Analysis With Qualitative Information

Heteroskedasticity

More on Specification and Data Issues

Basic Regression Analysis With Time Series Data

Further Issues in Using Ols With Time Sries Data

Serial Correlation and Heteroskedasticity in Time Series Regressions

Pooling Cross Sections Across Time Simple Panel Data Methods

Advanced Panel Data Methods

Instrumental Variables Estimation and Two Strage Least Squares

Simultaneous Equations Models

Limited Dependent Variable Models and Sample Selection Correctons

Advanced Time Series Topics

Carrying Out an Empirical Project

Filters

The Cauchy-Schwartz inequality implies that the asymptotic variance of is: