高级计量经济学-厦门大学中国大学mooc课后章节答案期末考试题库2023年

高级计量经济学_厦门大学中国大学mooc课后章节答案期末考试题库2023年Considerthefollowingdatageneratingprocess(DGP)【图片】where【图片】and【图片】aremutuallyindependent【图片】.Findtheunconditionalmean【图片】.

参考答案:

0

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

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错误

WhichofthefollowingisNOTtrueaboutawhitenoiseprocess【图片】?

参考答案:

dependson.

WhichstatementinthefollowingisNOTcorrect?

参考答案:

TSLSisanasymptoticallyefficientestimatoringeneral.

Supposethatthereexisttwoparametervaluessatisfyingthatmomentconditionsequal0,thenitispossibletoobtainaconsistentconsistentGMMestimator(themodelisnotidentified).

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错误

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

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错误

Fori.i.dsample,theconventionaltandwaldteststatisticarestillapproximatelyvalidwhenthereexistsconditionalhomoskedasticity.

参考答案:

正确

Conditionalinformationmatrixequalityholdswhenconditionaldensityfunction【图片】isthecorrectspecification.

参考答案:

正确

Whicheconometricianinthefollowingproposedthetwo-stageGMMprocedure?

参考答案:

LarsPeterHansen

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

参考答案:

正确

Correctspecificationofconditionaldensityfunction【图片】impliesMDSpropertyofthescorefunction.

参考答案:

正确

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

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错误

Ifdependentvariableisbinary,wecannotusealinearmodeltofitthedata.

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错误

TheweaklawoflargenumbersandcentrallimittheoreminChapter4canbeappliedto

参考答案:

i.i.drandomsample

WhichofthefollowingisnottrueaboutAssumptions4.1--4.5?

参考答案:

rulesoutconditionalheteroskedasticity

【图片】meansthat

参考答案:

forabinaryvariablemodel,thepredictedvaluefromthepopulationregressionistheprobabilitythat,given.

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

参考答案:

正确

WhichofthefollowingassumptionisNOTtrueaboutweakstationarytimeseriesprocess【图片】?

参考答案:

dependson.

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

参考答案:

Thefirstorderconditionofobjectivefunction

isthesameasthefirstorderconditionofobjectivefunction

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

参考答案:

错误

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

参考答案:

正确

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

参考答案:

0

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

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错误

WhichofthefollowingisNOTtrueaboutAssumption4.4,regarding【图片】?

参考答案:

Themaindiagonalelementsof

are

's

for

MLEmightnotbeunique.

参考答案:

正确

WhichofthefollowingisNOTtrueaboutamartingaledifferencesequence【图片】?

参考答案:

mightbeseriallycorrelated.

InChapters4and5,evenif【图片】,wecanstillapplytheweaklawoflargenumberstoprove【图片】.

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错误

TherobusttandwaldteststatisticintroducedinSection4.6isnotapplicablewhenthereexistsconditionalhomoskedasticity.

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错误

Martingaledifferencesequenceswithfinitesecondmomentspossessthenoserialcorrelationproperty.

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正确

ToshowtheconsistencyoftheOLSestimator【图片】inChapter5,weneedtoapplytheWLLNforergodicstationaryprocesses.

参考答案:

正确

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

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错误

Whenthedependentvariableiscensored,weonlycanusealogitmodel.

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错误

Toestimateabinarychoicemodel,wecanuseaTobitmodel.

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错误

Inalinearregressionwithconditionalheteroskedasticity,itispossibletoobtainanestimator,whichismoreefficientthantheOLSestimator.

参考答案:

正确

Theprobitmodel

参考答案:

forcesthepredictedvaluestoliebetween0and1.

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

参考答案:

正确

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

参考答案:

错误

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

参考答案:

错误

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

参考答案:

错误

With【图片】,【图片】.

参考答案:

正确

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

参考答案:

错误

WhichofthefollowingisNOTtrueaboutstrictstationarity?

参考答案:

Todefinestrictstationarity,weneedthefirsttwomomentsof

t