ECON 710 Final: ECON 710 UW Madison Final Exam 2004
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The parameter of interest is = 1 2, where 1 and 2 are the rst and second elements of . Show how to construct a con dence interval for using the following three methods. (a) asymptotic theory (b) percentile bootstrap (c) equal-tailed percentile-t bootstrap. (your answer should be speci c, not general. : take the model yi = x0. E (ei | xi) = 0 i + ei. If so, explain how: consider the just-identi ed model yi = z 0. 2i 2 + ei where zi = (z 0. Three econometricians are called to advise on how to test h0. H0 : 1 = 0 (cid:149) econometrician 1 proposes testing h0 by a wald statistic. (cid:149) econometrician 2 suggests testing h0 by the gmm distance statistic. (cid:149) econometrician 3 suggests testing h0 using the test of overidentifying restrictions. Explain the advantages and/or disadvantages of the di erent procedures, in this speci c context: the model is yi = z 0.
