ECONOMETRICS
5. What is the formula for variance estimator in White(1980) to deal with heteroskedasticity?
ECONOMETRICS 5. What is the formula for variance estimator in White(1980) to deal with heteroskedasticity?
What is the unbiased residual variance estimator ? Provide its formula.
Econometrics 6. Assuming the conditional variance of disturbance term is given by var (u Ix) = σ2exp (β° + ßixi + . . . +A4), List the steps to get the weighted least square estimator for 6. Assuming the conditional variance of disturbance term is given by var (u Ix) = σ2exp (β° + ßixi + . . . +A4), List the steps to get the weighted least square estimator for
For the next estimate, derive the formula for the variance of the following estimator, assume that they are three independent samples. (10 pts) Xi is a random variable with mean = μi and variance = σ2i P5A2: If three initial samples are taken. With the following results. A o X2+2X2 3X3 Population Sample size Sample average sample variance 1 40 110.1 6.1 2 50 125 7.2 3 60 85 6.4
EXERCISE1 The robust estimator of of the variogram (Cressie and Hawkins (1980)) given by 1 uses the transformation 2s+h)-Z(s 0.494 27(h) Consider now the class of power transformations Z(s + h) - Z(s) 27(h) 름, a. Find the mean and variance of a λwhere λ- b. b. Let X ~ χ. Find and plot the pdf of Y-X, where λ- c. Find an estimator of the variogram when the transformations , 2' 3' 5' 8 Z(s+ h) - Z(s) Z(s...
5. What do we mean by the term "heteroskedasticity"? Describe the consequences of heteroskedasticity for estimation and inference within the context of the classical linear regression model. How can we detect the presence of heteroskedasticity? Be specific. Should anything be done about heteroskedasticity if it is detected? If so, what should be done? Be specific. If not, why not? 5. What do we mean by the term "heteroskedasticity"? Describe the consequences of heteroskedasticity for estimation and inference within the context...
5. What do we mean by the term "heteroskedasticity"? Describe the consequences of heteroskedasticity for estimation and inference within the context of the classical linear regression model. How can we detect the presence of heteroskedasticity? Be specific. Should anything be done about heteroskedasticity if it is detected? If so, what should be done? Be specific. If not, why not? 5. What do we mean by the term "heteroskedasticity"? Describe the consequences of heteroskedasticity for estimation and inference within the context...
In the file pubexp.dat there are data on public expenditure on education (EE), gross domestic product (GDP), and population (P) for 34 countries in the year 1980. It is hypothesized that per capita expenditure on education is linearly related to per capita GDP. That is, yi ¼ b1 þ b2xi þ ei where yi ¼ EEi Pi and xi ¼ GDPi Pi It is suspected that ei may be heteroskedastic with a variance related to xi. (a) Why might the...
bj Derive V[3] and interpret your result. (Hint: What determines the variance of the estimator? How can an analyst use the result? bj Derive V[3] and interpret your result. (Hint: What determines the variance of the estimator? How can an analyst use the result?
1. Which of the following conditions will lead to a smaller variance for the intercept estimator for your multiple regression model? (A) X values cluster far from the origin of the X axis (B) X values closely pack around the mean of X in your sample (C) Small sample sizes (D) High correlation among the explanatory variables (E) Small error variance in the population regression function 2. R-squared (A) measures the proportion of variability of the dependent variable that is...
3. Consider the following. n = 5 measurements: 3, 3, 1, 2, 5 Calculate the sample variance, s2, using the definition formula. Calculate the sample variance, s2 using the computing formula. Calculate the sample standard deviation, s. (Round your answer to three decimal places.)4. A distribution of measurements is relatively mound-shaped with a mean of 60 and a standard deviation of 13. Use this information to find the proportion of measurements in the given interval. between 47 and 73 5. A distribution of...