Econometria

K2 a2K1 β2z2 u2 OLS will suffer from simultaneity bias if a u1 is correlated with z1 b z1 is correlated with z2 c K2 is correlated with u1 d K1 is correlated with u1 21 Refer to the simultaneous equations model above The reduced form error from the reduced form equation for K2 will be a a quadratic function of u1 and u2 and correlated with z1 and z2 b quadratic function of u1 and u2 and uncorrelated with z1 and z2 c linear function of u1 and u2 and correlated with z1 and z2 d linear function of u1 and u2 and uncorrelated with z1 and z2 22 Which of the following is a method which can be used for estimation in simultaneous equations models a Feasible generalized least squares estimation b HeisenbergRutherford transformation c DarwinGaussian parameterisation d Two stage least squares estimation 23 The rank condition for identification of a structural equation states that the first equation in a twoequation simultaneous equations model is identified if and only if a the first equation contains at least one exogenous variable with a nonzero coefficient that is excluded from the second equation b the first equation contains at least two exogenous variables with a nonzero coefficient that are excluded from the second equation c the second equation contains at least one exogenous variable with a nonzero coefficient that is excluded from the first equation d the second equation contains at least two exogenous variables with a nonzero coefficient that are excluded from the first equation 24 Which of the following is a reason for using independently pooled cross sections a To obtain data on different cross sectional units b To increase the sample size c To select a sample based on the dependent variable d To select a sample based on the independent variable 25 Pooling independent cross sections across time is useful in providing precise estimators if a the relationship between the dependent variable and at least some of the independent variables remains constant over time b the relationship between the dependent variable and at least some of the independent variables is linear c the relationship between the dependent variable and at least one of the independent variables changes over time d the relationship between the dependent variable and at least one of the independent variables is positive 26 Which of the following is true of a natural experiment a A natural experiment occurs when some endogenous event changes the environment in which individuals families firms or cities operate b The control group in a natural experiment is randomly chosen c The treatment group in a natural experiment is randomly chosen d Control and treatment groups in a natural experiment arise due to an exogenous event 27 The average treatment effect measures a the effect of a policy or program on the dependent variable b the effect of unobserved factors on observed explanatory variables c the effect of a change in an explanatory variable on other explanatory variables d the effect of unobserved factors on the average outcome of the dependent variable 28 A data set is a balanced panel if it a consists of a sample of individuals households firms cities states countries or a variety of other units taken at a given point in time b consists of observations on a variable or several variables over time c consists of data for each cross sectional unit over the same time period d consists of timedemeaned data for different cross sectional units 29 Firstdifferenced estimation gives unbiased estimators if the regression model includes a lagged dependent variable a True b False 30 Which of the following types of variables cannot be included in a fixed effects model a Dummy variable b Discrete dependent variable c Timevarying independent variable d Timeconstant independent variable a True b False 6 Consider the following simple regression model y β0 β1x1 u In order to obtain consistent estimators of β0 and β1 when x and u are correlated a new variable z can be introduced into the model which satisfies the following two conditions Covz x 0 and Covz u 0 The variable z is called an variable a dummy b instrumental c endogenous d dependent 7 Consider the following simple regression model y β0 β1x1 u Suppose z is an instrument for x Which of the following conditions denotes instrument exogeneity a Covz u 0 b Covz x 0 c Covz u 0 d Covz x 0 8 Consider the following simple regression model y β0 β1x1 u Suppose z is an instrument for x Which of the following conditions denotes instrument relevance a Covz u 0 b Covz x 0 c Covz u 0 d Covz x 0 9 Consider the following simple regression model y β0 β1x1 u Suppose z is an instrument for x Which of the following statements is true a The condition Covz u 0 can be tested statistically b The condition Covz x 0 cannot be tested statistically c The instrumental variables estimator is always biased if Covx u 0 d The ordinary least squares estimator is unbiased if Covx u 0 10 Consider the following simple regression model y β0 β1x1 u Suppose z is an instrument for x if Covz u 0 and Covz x 0 the value of β1 in terms of population covariances is a Covz yCovz x b Covz uCovz x c Covz u d Covz x 11 The sampling variance for the instrumental variables IV estimator is larger than the variance for the ordinary least square estimators OLS because a The IV estimator does not take into account the variation of the explanatory variable b The OLS estimator uses a linear estimation method c The relationship between the instrument and the endogenous variable is never one to one d Only the OLS takes into account the error variance of the dataset 12 Consider the following simple regression model y β0 β1x1 u The variable z is a poor instrument for x if a there is a high correlation between z and x b there is a low correlation between z and x c there is a high correlation between x and u d there is a low correlation between z and u 13 Which of the following assumptions is known as exclusion restrictions a The assumption that an instrumental variable is excluded from a regression model and is correlated with the error term b The assumption that an instrumental variable is excluded from a regression model and correlated with an exogenous explanatory variable c The assumption that an exogenous explanatory variable is excluded from a regression model and is uncorrelated with the error term d The assumption that an endogenous explanatory variable excluded from a regression model and is uncorrelated with the error term 14 The necessary condition for identification of an equation is called the a order condition b rank condition c condition of instrumental exogeneity d the condition of instrumental relevance 15 The order condition for identification of an equation requires that there should be a at least one exogenous explanatory variable in a structural equation b at least as many excluded exogenous explanatory variables as there are included endogenous explanatory variables c at least as many dummy variables in an equation as there are exogenous explanatory variables d as many lagged independent variables in an equation as there are exogenous explanatory variables 16 In econometrics simultaneity arises when a strictly exogenous explanatory variables determine the dependent variable through a stepbystep process b the error term is correlated with both the dependent variable and explanatory variables c one or more of the explanatory variables is jointly determined with the dependent variable d both serial correlation and heteroskedasticity are present in an hypothesized model 17 The following simultaneous equations describe the demand and supply for a particular good in a competitive market Qdi α1Pi β1zi1 ui1 Qsi α2Pi β2zi2 ui2 Which of the following are the endogenous variables in this model a Pi zi1 and zi2 b Pi and Qi c zi1 and zi2 d ui1 and ui2 18 Which of the following correctly identifies a characteristic of structural equations a A structural equation should contain equal number of dependent and independent variables b A structural equation should contain equal number of endogenous and exogenous variables c A structural equation should have a behavioral ceteris paribus interpretation on its own d A structural equation should not contain structural errors 19 The following equations represent a simultaneous equations model K1 α1K2 β1z1 u1 K2 α2K1 β2z2 u2The reduced form equation for K2 will express a K1 as a function of K2 and the error terms b K2 as a function of K1 and the error terms c K2 as a function of exogenous variables and the error terms d K1 as a function of exogenous variables the error terms and K2 20 The following equations represent a simultaneous equations model K1 α1K2 β1z1 u1 1 The model Gz ez1ez where G is between zero and one for all real numbers z represents a a logit model b probit model c Tobit model d linear probability model 2 The model is designed to model corner solution dependent variables a linear probability b logit c probit d Tobit 3 The model y β0 xβ u given ux Normal0σ2 and y max0y represents a a linear probability model b logit c probit d Tobit 4 Which of the following tests can be used to test the overall regression significance of a Tobit model a White test b Wald test c BreuschPagan test d Modified White test 5 The Tobit model relies crucially on normality and heteroscedasticity in the underlying latent variable model