高級計量經濟學_廈門大學中國大學mooc課后章節答案期末考試題庫2023年Considerthefollowingdatageneratingprocess(DGP)【圖片】where【圖片】and【圖片】aremutuallyindependent【圖片】.Findtheunconditionalmean【圖片】.

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0

Assumption3.1([Linearity]:【圖片】)implyacausalrelationshipfrom【圖片】to【圖片】.

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錯誤

WhichofthefollowingisNOTtrueaboutawhitenoiseprocess【圖片】?

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dependson.

WhichstatementinthefollowingisNOTcorrect?

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TSLSisanasymptoticallyefficientestimatoringeneral.

Supposethatthereexisttwoparametervaluessatisfyingthatmomentconditionsequal0,thenitispossibletoobtainaconsistentconsistentGMMestimator(themodelisnotidentified).

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錯誤

InSection5.6,under【圖片】andconditionalheteroskedasticity,wehave【圖片】.

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錯誤

Fori.i.dsample,theconventionaltandwaldteststatisticarestillapproximatelyvalidwhenthereexistsconditionalhomoskedasticity.

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正確

Conditionalinformationmatrixequalityholdswhenconditionaldensityfunction【圖片】isthecorrectspecification.

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正確

Whicheconometricianinthefollowingproposedthetwo-stageGMMprocedure?

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LarsPeterHansen

InChapter4,theasymptoticvarianceof【圖片】isderivedas【圖片】,with【圖片】and【圖片】

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正確

Correctspecificationofconditionaldensityfunction【圖片】impliesMDSpropertyofthescorefunction.

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正確

Suppose【圖片】isa【圖片】where【圖片】isaconsistentstimatorof【圖片】and【圖片】isthemaximizerof【圖片】.【圖片】isasymptoticallymoreefficientthan【圖片】.

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錯誤

Ifdependentvariableisbinary,wecannotusealinearmodeltofitthedata.

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錯誤

TheweaklawoflargenumbersandcentrallimittheoreminChapter4canbeappliedto

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i.i.drandomsample

WhichofthefollowingisnottrueaboutAssumptions4.1--4.5?

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rulesoutconditionalheteroskedasticity

【圖片】meansthat

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forabinaryvariablemodel,thepredictedvaluefromthepopulationregressionistheprobabilitythat,given.

【圖片】isequivalenttostrictexogeneityassumption,i.e.,【圖片】fori.i.dsample.

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正確

WhichofthefollowingassumptionisNOTtrueaboutweakstationarytimeseriesprocess【圖片】?

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dependson.

【圖片】,【圖片】,【圖片】,【圖片】isaconsistentestimator.【圖片】isthedimensionofmoments,【圖片】dimensionof【圖片】.【圖片】.WhichstatementinthefollowingisNOTcorrect.

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Thefirstorderconditionofobjectivefunction

isthesameasthefirstorderconditionofobjectivefunction

SupposeAssumptions3.1-3.3(a)and3.4hold.When【圖片】doesnotgrowwith【圖片】,theOLSestimatoriswell-defined,butitisbiased.

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錯誤

Giventheconditionofvariation-freeparameterspace.For【圖片】.【圖片】canbeidentifiedundersomeregularityconditions,eventhough【圖片】isunknown.

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正確

Suppose【圖片】whererandomvariables【圖片】and【圖片】areindependent,and【圖片】and【圖片】Find【圖片】

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0

ToestablishtheasymptoticnormalityoftheOLSestimator【圖片】inChapter5,weneedtoapplytheCLTfori.i.drandomsamples.

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錯誤

WhichofthefollowingisNOTtrueaboutAssumption4.4,regarding【圖片】?

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Themaindiagonalelementsof

are

's

for

MLEmightnotbeunique.

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正確

WhichofthefollowingisNOTtrueaboutamartingaledifferencesequence【圖片】?

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mightbeseriallycorrelated.

InChapters4and5,evenif【圖片】,wecanstillapplytheweaklawoflargenumberstoprove【圖片】.

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錯誤

TherobusttandwaldteststatisticintroducedinSection4.6isnotapplicablewhenthereexistsconditionalhomoskedasticity.

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錯誤

Martingaledifferencesequenceswithfinitesecondmomentspossessthenoserialcorrelationproperty.

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正確

ToshowtheconsistencyoftheOLSestimator【圖片】inChapter5,weneedtoapplytheWLLNforergodicstationaryprocesses.

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正確

InSection5.6,under【圖片】andconditionalhomoskedasticity,wehave【圖片】.

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錯誤

Whenthedependentvariableiscensored,weonlycanusealogitmodel.

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錯誤

Toestimateabinarychoicemodel,wecanuseaTobitmodel.

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錯誤

Inalinearregressionwithconditionalheteroskedasticity,itispossibletoobtainanestimator,whichismoreefficientthantheOLSestimator.

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正確

Theprobitmodel

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forcesthepredictedvaluestoliebetween0and1.

If【圖片】isi.i.d【圖片】,then【圖片】isawhitenoiseprocess.

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正確

If【圖片】iswhitenoise,then【圖片】isamartingaledifferencesequence.

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錯誤

InChapter4,with【圖片】,theasymptoticvarianceof【圖片】canbesimplifiedto【圖片】.

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錯誤

Thefirstordercondition(FOC)ofOLS【圖片】doesnotholdifAssumption3.2([StrictExogeneity]【圖片】)doesnothold.

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錯誤

With【圖片】,【圖片】.

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正確

If【圖片】isanobservablei.i.drandomsample,then【圖片】and【圖片】mustbeindependent.

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錯誤

WhichofthefollowingisNOTtrueaboutstrictstationarity?

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Todefinestrictstationarity,weneedthefirsttwomomentsof

t