‘Stackholm Univesity Depart of Staitioe Econometrics I WRITTEN FXAMINATION Wednesday April 25 2018, 10 am—15 pm Tools allowed: Pocket calculator Passing rate, 50% of overall total, which is 100 points. For detailed grading ‘Criteria, see the course description The exam will be handed back: not decided For the maximum number of poirts on each problem detailed and clear solutions are required. If not indicated otherwise, the disiurbance tem u, in the models are assumed to fulfil the usual requirements of normality, homoscedasticity and independence,Task 12, Assume the following model Pew, A) Derive the least square estimatr of. (8) b) Therein Ahad te f= Bl, Siow hath esnntrs bia ad fis rine nor derivation asf wee 0 tes spin feet et {ms emmplon afc enr auc 8) CC) Now assume thatthe eror variance i proprtinal tothe variable X. How should you ‘transform the model to obtain constant error variance? Present the transformed model and ‘how thatthe er variance the transformed model is homoscedastc. (8) Fask2 (8) ‘Which two ofthe following statements are not coret forthe classical linear regression model: ¥i=Br+ BaXaAt BX #8 8) Cord 3) must be equal to zero by) IFN °2%), itis posible to estimate the individual parameters Be and fy wsing 2 simple linear eegression model insexd ofthe mulile mode © Ew o) BY = EWIX) 1 Xi) = EQVINE.AG) = Boe Bo it is possible to estimate the sum ofthe individual parameters Band Bs using a simple linear regression model instead ofthe multiple modelTask3 20) ‘The able below shows the numberof death penalty verdicts (DPV) for cass involving ‘multiple murders (TOTALS) in Fora between 1976 and 1987, classified by the race ofthe defendant and the rae ofthe victim, ‘The following model will be studied: In-* = 8, + 2,VR-+ B5DR, ‘where P= probability that a multiple murder will get a death penalty, VR=I ifthe vitim is black, Of he vietim is white and DReI ifthe defendant is black, DR = 0 ifthe defendant is white (See reskog et. therein.) utivariate Analysis with LISREL, Springer Verlag, and references A) Isthe logistic regression significant? Specify the null and altemative hypothesis and use relevant result inthe estimation results to answer the question. (6) '8) For given victim calculate a 90% confidence interval forthe ODDS ofa death penalty it the defendants black (e* ), (7) ©) Calculate the probability of getting @ death penalty given VR=I and DR! and compare it with the observed proportion foe VR=I and DR=(7)Task 423) “This evercise is based on the data in table 8 in Gujarati edition 5, Inthe table data for GDP. Employment and Fixed! Capital forthe years 1955 to 1974 in Mexico are presente We shall tse these observations to study the Cobb-Douglas production funtion: 1 + Balbabor, + BylnCapitale + ue ‘We wil assume tha the assumption are flied forthe classical linear regression model and Hah w008 | . De GP By oo Be Soe RP a ee ab we | ase ast Ser 390 asin cs EBS ee 3 ae Ee ee a ne : i BRE! hee 2 ee omen i a re ga ER mer - i ae ie @ sme as sani Bum ues Sie65 é ihe oe court hinge] Seam mon Sie ‘es0 sppenbs ©. Suna! ee xamgte rer 159) 028 010 tras =10 a le (ete oa ay ws By te aaa le ond = 8 3 BS 205 2 207 ae rd TH oe ae aa Se a 1a asaFatable. coutined2 Hepes 8 Surette TABLED. tert Penn tn Comat wr le faa naa ibis i mis & kb ole ie i Rn ie fo 3 dee ae 3S eH im 3 ei ie a oat SG SD So te I IR Re i Ie be 1 a ei @ los je ie it jo it HS has BS ie ie ee BSG RR ge BSE RB ese ee oe ie 8 ws i ie mn ie a ab tat ws ist in wis ie if ie ae in joie Ss th Er ik in i % Io vas Ms ous i lata » |e ae ie Bs ite 2 Io top Sie ie min Ga is 3Frtable coatedPinte ite (Cmte) TABLED. Upper Fern Foote ni ‘aFeta at ay Cortuedaa di ee i A EXAMPLET tp and =d ~ 128handd = 172, Na cama eb let 128 Ihe nendtee posits resol once eroer hn 721, Ute aos al pote it rd leo: bt es toe a onde “i tailors edo airy Wepre or absence pose Fee sl ern saisteenntetinietsinsoentiiesey Tink Stockholms Department of Statistics universitet Correction sheet Date: 25/4/2018 Room: Ugglevikssalen Exam: Econometrics I Course: Econometrics Anonymous code: [0.25 - aqic 15 authorise the anonymous posting of my exam in whole orn pat, onthe department homepage 252 samme student answer, NOTE! ALSO WRITE ON THE BACK OF THE ANSWER SHEET Mark answered questions aes Le eae) I ee | 7 |e T 5 Laeamass sheet number, | DEPARTMENT OF STATISTICS oom: L/ a ___ anonymous code:. 8U, DEPARTMENT OF STATISTICS Room: L/Es anonymous code:"25 "A. sheet number_ 8U, DEPARTMENT OF STATISTICS 2 elrsjetal #1) Tt FDR EE ifishtj=2p 3. TERRE HH Bind Ce bhe Srrh ped [Ee ati A Fg Bate the