ECON 710 Final: ECON 710 UW Madison Final Exam 2009
Document Summary
The observed data is fyi; xig 2 r (cid:2) rk; k > 1; i = 1; :::; n: take the model. E (ziei) = 0 i(cid:12) + ei (a) given a weight matrix w > 0, write down the gmm estimator for ^(cid:12): (b) suppose model (1) is misspeci(cid:133)ed in that ei = (cid:14)n(cid:0)1=2 + ui. E (ui j zi) = 0 with (cid:22)z = ezi 6= 0 and (cid:14) 6= 0: ^(cid:12) + ^ei yi = x0 i by least squares. The econometrician next regresses the residual ^ei on zi; which can be written as.
