第三章 经典线性回归模型 Quiz 1
1、 Consider the following data generating process (DGP) 
where 
and 
are mutually independent 
. Find the unconditional mean 
.
答案: 0
2、 Consider the following data generating process (DGP) where and are mutually independent . Find the conditional mean 
答案: 
3、 Consider the following data generating process (DGP) where and are mutually independent . Find the marginal effect of 
on
, 
答案: 
4、 Consider the following data generating process (DGP) where and are mutually independent . Suppose now a linear regression model 
where 
, is specified to approximate this DGP.Find the best LS approximation coefficient 
:
答案: 
5、 Consider the following data generating process (DGP) where and are mutually independent . Suppose now a linear regression model where , is specified to approximate this DGP.Find the best linear LS predictor 
答案: 
6、 Suppose 
where random variables 
and 
are independent, and 
and 
Find 
答案: 0
7、 Suppose where random variables and are independent, and and Find 
答案: 
8、 Choose the assumption that is not required for the consistency of OLS estimator 
: for 
答案: 
9、 Choose the assumption that is not required for the normality of 
that for any nonstochastic 
matrix 
, we have 
：
答案: 
10、 Consider the following two bivariate linear regression models for the same 
where 
. Find the correct relation between two OLS estimators 
and 
答案: 
11、 Consider the following two bivariate linear regression models for the same where . Find the correct relation between two centered 
, 
and 
:
答案: 
12、 Using the college GPA data on 123 college students, the following equation was estimated by OLS: 
where colgpa' is measured on a four-point scale,hsperc’ is the percentile in the high school graduating class (defined so that, for example, hsperc=5 means the top 5% of the class), and exam' is the combined scores on the student college entrance test. Find the correct F-statistic to conduct thetest for the null '<img src="http://edu-image.nosdn.127.net/_PhotoUploadUtils_9218eee8-74f9-4070-bb22-837aa3bbc047.png" /> neitherhsperc’ nor `exam’ has impact on college GPA’.
答案: 
13、 Assumption 3.1 ([Linearity]: 
) imply a causal relationship from 
to 
.
答案: 错误
14、 If 
is i.i.d. (independently and identically distributed) random sample and 
for all 
, Assumption 3.2 ([Strict Exogeneity]
) holds.
答案: 正确
15、 Suppose Assumptions 3.1-3.3(a) and 3.4 hold. When 
does not grow with 
, the OLS estimator is well-defined, but it is biased.
答案: 错误
16、 The first order condition (FOC) of OLS 
does not hold if Assumption 3.2 ([Strict Exogeneity] 
) does not hold.
答案: 错误
17、 If 
does not contain the intercept, then the orthogonal decomposition identity 
no longer holds.
答案: 正确
18、 Consider the extended production function 
where 
is a dummy variable indicating whether firm 
is granted autonomy, and 
is the profit share of firm 
with the state. To test whether the production technology exhibits the constant return to scale (CRS), we setup the null hypothesis as follows: 
Even though there are two parameters subject to the test, T-test and F-test are available for this null hypothesis test.
答案: 正确
19、 The 
-test and associated procedures are valid even when there exists near-multicolinearity.
答案: 正确
20、 If the 
-test statistic does not reject the null hypothesis 
for the omitted variables (
all coefficients of omitted regressors
), it implies that the linear regression model is correctly specified.
答案: 错误
第五章 非独立样本的线性回归模型 Quiz 2
1、 Which of the following assumption is NOT required in Chapter 4?
答案: 
2、 Which of the following is NOT true about Assumption 4.4, regarding 
?
答案: The main diagonal elements of 
are 
‘s for 
3、 Which of the following is NOT true about 
in Assumption 4.5?
答案: 
is not symmetric
4、 The weak law of large numbers and central limit theorem in Chapter 4 can be applied to
答案: i.i.d random sample
5、 Which of the following is not true about Assumptions 4.1–4.5?
答案: 
rules out conditional heteroskedasticity
6、 Which of the following is NOT true about strict stationarity?
答案: To define strict stationarity, we need the first two moments of 
to be finite.
7、 Which of the following assumption is NOT true about weak stationary time series process 
?
答案: 
depends on 
.
8、 Which of the following is NOT true about a white noise process 
?
答案: 
depends on 
.
9、 Which of the following is NOT true about a martingale difference sequence 
?
答案: 
might be serially correlated.
10、 Which of the following is true about ergodicity?
答案: All of the above.
11、 
is equivalent to strict exogeneity assumption, i.e., 
for i.i.d sample.
答案: 正确
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