ECON 710 Final: ECON 710 UW Madison Final Exam 2012
Document Summary
E (ziei) = 0 i(cid:12) + ei and consider the two-stage least-squares estimator. The (cid:133)rst-stage estimate is and the second-stage is ls of yi on bxi : Z 0x bx = zb(cid:0) b(cid:0) = (cid:0)z 0z(cid:1)(cid:0)1 b(cid:12) = (cid:16) bx 0 bx(cid:17)(cid:0)1 bx 0y be = y (cid:0) bxb(cid:12): nbe0be as an estimator for (cid:27)2 = ee2. If not, propose an: you have two independent iid samples (y1i; x1i; z1i. 1; :::; n): the dependent variables y1i and y2i are real-valued. The regressors x1i and x2i and instruments z1i and z2i are k-vectors. The model is standard just-identi(cid:133)ed linear instrumental variables. : i = 1; :::; n) and (y2i; x2i; z2i y1i = x0. For concreteness, sample 1 are women and sample 2 are men. E (ei j zi) = 0 with both xi 2 r and zi 2 r, and zi is continuously distributed.
