ECON 710 Final: ECON 710 UW Madison Final Exam 2005
Document Summary
Gmm estimator for : take the regression model yi = x0. E ( i | xi) = 0 i + i with xi rk. Assume that p ( i = 0) = 0. = nxi=1 i | xi = 2 i! 1 nxi=1. This is a wls estimator using the weights e 2 i (a) find the asymptotic distribution of (b) contrast your result with the asymptotic distribution of infeasible gls: take the model yi = x0. 2i 2 + ei with x1i rk and x2i rk. Describe a test of h0 using the nonparametric bootstrap: consider the model i + ei yi = z 0. 2sls using the instruments x1 (b) 2. Gmm using the instruments x = (x1, x2) and the weight matrix. 2x2) 1 (1 ) (x 0 for (0, 1) Find an expression for which shows that it is a speci c weighted average of 1 and 2.
