ECON 710 Final: ECON 710 UW Madison Final Exam 2003
Document Summary
= q where is k 1, q is k m with m < k, and q is known. Assume that the observations (yi, xi) are iid across i = 1, , n. Under these assumptions, what is the e cient estimator of : take the model yi = x1i 1 + x2i 2 + ei. Calculate v ar (y ) . i=1 1 (yi x) be the empirical distribution function. Let: take the simple panel data model yit = i + eit it = 2. 1: take the stationary ar(1) model yt = yt 1 + et. | | < 1 where for simplicity we assume that e(yt) = 0 so there is no intercept. It 1 = (yt 1, yt 2, ) we know that the ols estimator satis es. T ( ) n (0, v ) t . Explain whether or not the mds assumption is important for (1)-(2).
