【MOOC】《高级计量经济学》(厦门大学)章节作业慕课答案

【答案】《高级计量经济学》(厦门大学)章节作业慕课答案

有些题目顺序不一致，下载后按键盘ctrl+F进行搜索第三章经典线性回归模型Quiz11.单选题：Supposewhererandomvariablesandareindependent,andandFind

选项：

A、0

B、1

C、1.5

D、2

答案：【0】2.单选题：Considerthefollowingdatageneratingprocess(DGP)whereandaremutuallyindependent.Supposenowalinearregressionmodelwhere,isspecifiedtoapproximatethisDGP.FindthebestlinearLSpredictor

选项：

A、

B、

C、

D、

答案：【】3.单选题：Considerthefollowingdatageneratingprocess(DGP)whereandaremutuallyindependent.Supposenowalinearregressionmodelwhere,isspecifiedtoapproximatethisDGP.FindthebestLSapproximationcoefficient:

选项：

A、

B、

C、

D、

答案：【】4.单选题：Considerthefollowingdatageneratingprocess(DGP)whereandaremutuallyindependent.Findthemarginaleffectofon,

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A、

B、

C、

D、

答案：【】5.单选题：Considerthefollowingdatageneratingprocess(DGP)whereandaremutuallyindependent.Findtheconditionalmean

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A、

B、

C、

D、

答案：【】6.单选题：Considerthefollowingdatageneratingprocess(DGP)whereandaremutuallyindependent.Findtheunconditionalmean.

选项：

A、0

B、1

C、5

D、2

答案：【0】7.单选题：UsingthecollegeGPAdataon123collegestudents,thefollowingequationwasestimatedbyOLS:where`colgpa'ismeasuredonafour-pointscale,`hsperc'isthepercentileinthehighschoolgraduatingclass(definedsothat,forexample,hsperc=5meansthetop5%oftheclass),and`exam'isthecombinedscoresonthestudentcollegeentrancetest.FindthecorrectF-statistictoconductthetestforthenull'neither`hsperc'nor`exam'hasimpactoncollegeGPA'.

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A、

B、

C、

D、

答案：【】8.单选题：Considerthefollowingtwobivariatelinearregressionmodelsforthesamewhere.Findthecorrectrelationbetweentwocentered,and:

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A、

B、

C、

D、

答案：【】9.单选题：Considerthefollowingtwobivariatelinearregressionmodelsforthesamewhere.FindthecorrectrelationbetweentwoOLSestimatorsand

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A、

B、

C、

D、

答案：【】10.单选题：Choosetheassumptionthatisnotrequiredforthenormalityofthatforanynonstochasticmatrix,wehave：

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A、

B、

C、

D、

答案：【】11.单选题：ChoosetheassumptionthatisnotrequiredfortheconsistencyofOLSestimator:for

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A、

B、

C、

D、

答案：【】12.单选题：Supposewhererandomvariablesandareindependent,andandFind

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A、

B、

C、

D、

答案：【】13.单选题：Ifthe-teststatisticdoesnotrejectthenullhypothesisfortheomittedvariables(allcoefficientsofomittedregressors),itimpliesthatthelinearregressionmodeliscorrectlyspecified.

选项：

A、正确

B、错误

答案：【错误】14.单选题：The-testandassociatedproceduresarevalidevenwhenthereexistsnear-multicolinearity.

选项：

A、正确

B、错误

答案：【正确】15.单选题：Considertheextendedproductionfunctionwhereisadummyvariableindicatingwhetherfirmisgrantedautonomy,andistheprofitshareoffirmwiththestate.Totestwhethertheproductiontechnologyexhibitstheconstantreturntoscale(CRS),wesetupthenullhypothesisasfollows:Eventhoughtherearetwoparameterssubjecttothetest,T-testandF-testareavailableforthisnullhypothesistest.

选项：

A、正确

B、错误

答案：【正确】16.单选题：Ifdoesnotcontaintheintercept,thentheorthogonaldecompositionidentitynolongerholds.

选项：

A、正确

B、错误

答案：【正确】17.单选题：Thefirstordercondition(FOC)ofOLSdoesnotholdifAssumption3.2([StrictExogeneity])doesnothold.

选项：

A、正确

B、错误

答案：【错误】18.单选题：SupposeAssumptions3.1-3.3(a)and3.4hold.Whendoesnotgrowwith,theOLSestimatoriswell-defined,butitisbiased.

选项：

A、正确

B、错误

答案：【错误】19.单选题：Ifisi.i.d.(independentlyandidenticallydistributed)randomsampleandforall,Assumption3.2([StrictExogeneity])holds.

选项：

A、正确

B、错误

答案：【正确】20.单选题：Assumption3.1([Linearity]:)implyacausalrelationshipfromto.

选项：

A、正确

B、错误

答案：【错误】第五章非独立样本的线性回归模型Quiz21.单选题：WhichofthefollowingisNOTtrueaboutAssumption4.4,regarding?

选项：

A、Thedimensionofis.

B、isnonsingular.

C、Themaindiagonalelementsofare'sfor

D、containselementslike

答案：【Themaindiagonalelementsofare'sfor】2.单选题：WhichofthefollowingassumptionisNOTrequiredinChapter4?

选项：

A、isanobservablei.i.drandomsample.

B、Linearity,i.e.,for

C、

D、

答案：【】3.单选题：Whichofthefollowingistrueaboutergodicity?

选项：

A、Ergodicityisanotionofasymptoticindependence.

B、Astrictlystationaryprocessthatisergodiciscalledergodicstationary.

C、Animportantimplicationofergodicityisthatthestatisticalproperties(suchasthepopulationmeanandvariance)oftheergodictimeseriesprocesscanbededucedfromasingle,sufficientlylongsample(realization)oftheprocess.

D、Alloftheabove.

答案：【Alloftheabove.】4.单选题：WhichofthefollowingisNOTtrueaboutamartingaledifferencesequence?

选项：

A、canbeinterpretedasthedifferenceofamartingaleprocess.

B、mightbeseriallycorrelated.

C、

D、Noneoftheabove.

答案：【mightbeseriallycorrelated.】5.单选题：WhichofthefollowingisNOTtrueaboutawhitenoiseprocess?

选项：

A、

B、forall.

C、dependson.

D、Alloftheabove.

答案：【dependson.】6.单选题：WhichofthefollowingassumptionisNOTtrueaboutweakstationarytimeseriesprocess?

选项：

A、forall.

B、forall.

C、dependson.

D、Alloftheabove.

答案：【dependson.】7.单选题：WhichofthefollowingisNOTtrueaboutstrictstationarity?

选项：

A、Ifisstrictlystationary,theconditionalprobabilityofgivenpastinformationsetwouldhaveatime-invariantfunctionalform.

B、Todefinestrictstationarity,weneedthefirsttwomomentsoftobefinite.

C、When,Strictstationarityimpliesweakstationarity.

D、Alloftheabove.

答案：【Todefinestrictstationarity,weneedthefirsttwomomentsoftobefinite.】8.单选题：WhichofthefollowingisnottrueaboutAssumptions4.1--4.5?

选项：

A、Assumptions4.1and4.3imply

B、rulesoutconditionalheteroskedasticity

C、Assumption4.4canimplytheidentification(Assumption3.2)inChapter3

D、Alloftheabove

答案：【rulesoutconditionalheteroskedasticity】9.单选题：TheweaklawoflargenumbersandcentrallimittheoreminChapter4canbeappliedto

选项：

A、Timeseriesdatawithdependentobservations

B、Cross-sectionaldatawithspatialdependence

C、i.i.drandomsample

D、Noneoftheabove

答案：【i.i.drandomsample】10.单选题：WhichofthefollowingisNOTtrueaboutinAssumption4.5?

选项：

A、Inchapter4wehave

B、Thedimensionofis

C、isnotsymmetric

D、Assumption4.4canimplyAssumption4.5underconditionalhomoskedasticity.

答案：【isnotsymmetric】11.单选题：Weakstationarityimpliesstrictstationarity.

选项：

A、正确

B、错误

答案：【错误】12.单选题：InSection5.6,underandconditionalheteroskedasticity,wehave.

选项：

A、正确

B、错误

答案：【错误】13.单选题：InSection5.6,underandconditionalhomoskedasticity,wehave.

选项：

A、正确

B、错误

答案：【错误】14.单选题：ToestablishtheasymptoticnormalityoftheOLSestimatorinChapter5,weneedtoapplytheCLTfori.i.drandomsamples.

选项：

A、正确

B、错误

答案：【错误】15.单选题：InSection4.6,underandconditionalhomoskedasticity,wehave.

选项：

A、正确

B、错误

答案：【正确】16.单选题：InChapter4,with,theasymptoticvarianceofcanbesimplifiedto.

选项：

A、正确

B、错误

答案：【错误】17.单选题：With,.

选项：

A、正确

B、错误

答案：【正确】18.单选题：InChapter4,theasymptoticvarianceofisderivedas,withand

选项：

A、正确

B、错误

答案：【正确】19.单选题：InChapter4,weutilizeaunivariateCentralLimittheoremfori.i.drandomsampletoestablishtheasymptoticnormalityof.

选项：

A、正确

B、错误

答案：【错误】20.单选题：InChapters4and5,evenif,wecanstillapplytheweaklawoflargenumberstoprove.

选项：

A、正确

B、错误

答案：【错误】21.单选题：Ifisanobservablei.i.drandomsample,thenandmustbeindependent.

选项：

A、正确

B、错误

答案：【错误】22.单选题：isequivalenttostrictexogeneityassumption,i.e.,fori.i.dsample.

选项：

A、正确

B、错误

答案：【正确】23.单选题：ToshowtheconsistencyoftheOLSestimatorinChapter5,weneedtoapplytheWLLNforergodicstationaryprocesses.

选项：

A、正确

B、错误

答案：【正确】24.单选题：Ifisi.i.d,thenisawhitenoiseprocess.

选项：

A、正确

B、错误

答案：【正确】25.单选题：Strictstationarityimpliesweakstationarity.

选项：

A、正确

B、错误

答案：【错误】26.单选题：Martingaledifferencesequenceswithfinitesecondmomentspossessthenoserialcorrelationproperty.

选项：

A、正确

B、错误

答案：【正确】27.单选题：Ifiswhitenoise,thenisamartingaledifferencesequence.

选项：

A、正确

B、错误

答案：【错误】28.单选题：Ifisi.i.d,thenisamartingaledifferencesequence.

选项：

A、正确

B、错误

答案：【正确】29.单选题：TherobusttandwaldteststatisticintroducedinSection4.6isnotapplicablewhenthereexistsconditionalhomoskedasticity.

选项：

A、正确

B、错误

答案：【错误】30.单选题：Fori.i.dsample,theconventionaltandwaldteststatisticarestillapproximatelyvalidwhenthereexistsconditionalhomoskedasticity.

选项：

A、正确

B、错误

答案：【正确】第七章工具变量回归方法quiz31.单选题：Ifthetruedatageneratingprocessisfor,andbothandareexogenousthat.WemisspecifiedanincorrectmodelthatandcomputedtheOLSestimator,then

选项：

A、theOLSestimatorinthiswrongmodelmustbeinconsistent.

B、theOLSestimatorofthecoefficientsinthiswrongmodelmaybeconsistentwhenisuncorrelatedwith.

C、theOLSestimatorofthecoefficientinthiswrongmodelmaybeconsistentwhenisuncorrelatedwithand.

D、allabovearewrong.

答案：【theOLSestimatorofthecoefficientinthiswrongmodelmaybeconsistentwhenisuncorrelatedwithand.】2.单选题：Foralinearregressionmodelfor,ifonlyisendogenousandcorrelatedwith,butisexogenousanduncorrelatedwith,

选项：

A、intheOLSestimator,onlyisinconsistent,andmustbeconsistent.

B、intheOLSestimator,mustbeinconsistent,andmaybeconsistent.

C、intheOLSestimator,maybeconsistent,andmayalsobeconsistent.

D、intheOLSestimator,onlymustbeinconsistent,andcanneverbeconsistent.

答案：【intheOLSestimator,mustbeinconsistent,andmaybeconsistent.】3.单选题：The2SLSestimator,

选项：

A、couldbesimplifiedtoifisasquarematrix.

B、couldbesimplifiedtoifthereisnoendogeneityproblemandistakenas`instrumentalvariables'that.

C、isunbiasedandconsistentifstandardassumptionsaresatisfiedinChapter7,inparticular,theinstrumentalvariablesarecorrelatedwiththeendogenousregressorsbutuncorrelatedwiththeerrorterm.

D、Allabovearecorrect.

答案：【Allabovearecorrect.】4.单选题：Inthe2SLSestimation,whichoneisincorrect?

选项：

A、Thenumberofinstrumentalvariablesmustbelargerthanorequaltothenumberofendogenousvariables.

B、Everyinstrumentalvariablemustbecorrelatedwitheveryendogeneousvariable.

C、The2SLSestimatorisconsistentunderregularityconditionsinChapter7,thoughitsasymptoticvariancemaybelargerthantheOLSestimator.

D、mustbefiniteandoffullranktoensurethatthe2SLSestimatoriswell-defined.

答案：【Everyinstrumentalvariablemustbecorrelatedwitheveryendogeneousvariable.】5.单选题：InChapter7,whichstatementiscorrect?

选项：

A、TheOLSestimatorsofthecoefficientsarealwaysinconsistentwhenthereexistsmeasurementerrorsineitherthedependentvariableortheregressorsintheregression.

B、TheOLSestimatorsofthecoefficientsarealwaysinconsistentwhenthereexistomittedvariablesintheregression.

C、AlltheOLSestimatorsofthecoefficients(includingtheinterceptterm)arealwaysinconsistentwhentheregressorsarecorrelatedwiththeerrorterm.

D、Allaboveareincorrect.

答案：【Allaboveareincorrect.】6.单选题：Inthe2SLSestimation,thenumberofextravariablesusedasinstrumentalvariablesmustbesmallerthanthenumberofendogenousregressors.

选项：

A、正确

B、错误

答案：【错误】7.单选题：Toestimatetheasymptoticvariance-covraincematrixofthe2SLSestimatorunderMDSandconditionalhomoskedasticity,i.e.,in,inwhich,theresidualvectorisfromthesecondstageregression.

选项：

A、正确

B、错误

答案：【错误】8.单选题：TheHausaman'sTestisappliedtotestthenullhypothesisunderconditionalhomoskedasticity.

选项：

A、正确

B、错误

答案：【正确】9.单选题：Theasymptoticvarianceofthe2SLSestimatorcouldbesimplifiedtounderbothcondtionalhomoskedasticityandconditionalheteroskedasticitywhenisassumedtobeanMDS.

选项：

A、正确

B、错误

答案：【错误】10.单选题：Theproblemofendogeneityinalinearregressionmodelcouldbecausedbymeasurementerrorsinthevariables,omittedvariables,andsimultaneousequationbias.

选项：

A、正确

B、错误

答案：【正确】第九章Quiz41.单选题：Theprobitmodel

选项：

A、isthesameasthelogitmodel.

B、alwaysgivesthesamefitforthepredictedvaluesasthelinearprobabilitymodelforvaluesbetween0.1and0.9.

C、forcesthepredictedvaluestoliebetween0and1.

D、shouldnotbeusedsinceitistoocomplicated.

答案：【forcesthepredictedvaluestoliebetween0and1.】2.单选题：meansthat

选项：

A、forabinaryvariablemodel,thepredictedvaluefromthepopulationregressionistheprobabilitythat,given.

B、dividingYbytheX'sisthesameastheprobabilityofbeingtheinverseofthesumofthe's.

C、theexponentialofYisthesameastheprobabilityofYhappening.

D、youareprettycertainthatYtakesonavalueof1giventheX's.

答案：【forabinaryvariablemodel,thepredictedvaluefromthepopulationregressionistheprobabilitythat,given.】3.单选题：,,,isaconsistentestimator.isthedimensionofmoments,dimensionof..WhichstatementinthefollowingisNOTcorrect.

选项：

A、Thefirstorderconditionofobjectivefunctionisthesameasthefirstorderconditionofobjectivefunction

B、Intestingthenullthat,undersomeproperassumptionsfollowschi-squaredistributionasymptoticallywithdegreesoffreedom,whereisthemaximizerof

C、Intestingthenullthat,undersomeproperassumptionsfollowschi-squaredistributionasymptoticallywithdegreesoffreedom,whereisthemaximizerof

D、Undersomeproperassumptions,,themaximizerofisanasymptoticallyefficientestimator.

答案：【Thefirstorderconditionofobjectivefunctionisthesameasthefirstorderconditionofobjectivefunction】4.单选题：Considermomentconditions,whereisoffullrank,,whereisdimensionof.WhichweightingmatrixinthefollowingcanNOTbeusedinconstructingaGMMobjectivefunction?

选项：

A、

B、

C、,whereisaconsistentestimatorof.

D、

答案：【】5.单选题：Inconditionalmomentrestriction,whereistheinformationset(sigma-algebra)generatedby.whichunconditionalmomentrestrictionsinthefollowingcannotbeusedtotoestimatetheparameter

选项：

A、

B、

C、

D、

答案：【】6.单选题：WhichstatementinthefollowingisNOTcorrect?

选项：

A、AnMLEcanberegardedasaspecialcaseofaGMMestimator.

B、OLScanberegardedaspecialcaseofaTSLS.

C、TSLSisanasymptoticallyefficientestimatoringeneral.