ECON 710 Final: ECON 710 UW Madison Final Exam 2002
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Friday, may 17: (20 points) take the linear model with iid observations (yi, xi), i = 1, , n yi = x0. E e2 i | xi = 2 zi is k 1 and xi is l 1 with l > k. the k-class estimator of is. = z 0 ((1 ) ik + px ) z 1 z 0 ((1 ) ik + px ) y . Assuming 6= 0, nd . (note: it may depend on . ) (d) find the asymptotic distribution of n . 1: (40 points) take the simple ar(1) model with et iid, eet = 0, ee2 t = 2, and | | < 1. The long-run variance of yt for the ar(1) is yt = yt 1 + et. The de nition can be motivated using two alternative expressions. Be explicit. (d) suppose you want to test the hypothesis. Write out the test statistic and describe the test procedure explicitly.
