ECON 837 Study Guide - Midterm Guide: Econometrics, Asymptotic Distribution, Latent Variable
Document Summary
You need to justify your answers carefully and show your work in order to get full credit. Par- tial credit may be given for each question. If you run out of time, or cannot complete the formal argument/proof, partial credit may be given for an intuitive answer. Unless otherwise stated, standard assumptions of the linear model may be used. Make sure to clearly state the regularity assumptions you are using to solve each exercise. You have two independent samples (y1, x1) and (y2, x2) which satisfy y1 = x1 1 + e1 and y2 = x2 2 + e2 where e(x1ie1i) = 0 and e(x2ie2i) = 0 and both x1 and x2 have k columns. Let 1 and 2 be the ols estimates of 1 and 2. For simplicity, you may assume that both samples have the same number of observations n: find the asymptotic distribution of.
