ECON 710 Midterm: ECON 710 UW Madison Midterm 2005
Document Summary
March 17, 2005: let the variable yi be generated by yi = x2 i = 2. Suppose that exi = 0, and let 2 = ex2 i + i where i is independent of xi, e i = 0 i and 4 = ex4 and e 2 i . Using a random sample from (yi, xi), suppose you estimate (by ols) a linear equation yi = 0 + 1xi + ei. Find expressions for 0 and 1 in terms of the moments of i and xi i , 3 = ex3: take the model yi = x0 i + ei with e(xiei) = 0. Suppose you have two independent random samples of observations (yi, xi) of size n1 and n2. Let 1 and 2 denote the least-squares estimate of on each sample. Let = 1 + 2 /2 denote the average of the two esti- mates. Let denote the least-squares estimate on the combined sample.
