Introduction to Econometrics 3rd Edition

Introduction to Econometrics, 3e (Stock)Chapter 1 Economic Questions and Data1.1 Multiple Choice1) Analyzing the behavior of unemployment rates across U.S. states in March of 2006 is an example ofusingA) time series data.B) panel data.C) cross-sectional data.D) experimental data.Answer: C2) Studying inflation in the United States from 1970 to 2006 is

14 Copyright © 2015 Pearson Education, Inc. 5) A researcher investigating the determinants of crime in the United Kingdom has data for 42 police regions over 22 years. She estimates by OLS the following regression ln(cmrt)it = αi + φt + β1unrtmit + β2proythit + β3 ln(pp)it + uit;

1 Copyright © 2015 Pearson Education, Inc. Introduction to Econometrics, 3e (Stock) Chapter 10 Regression with Panel Data 10.1 Multiple Choice 1) The notation for panel data is (Xit, Yit), i = 1, ..., n and t = 1, ..., T because A) we

6) The logit regression (11.10) on page 393 of your textbook reads:= F(-4.13 + 5.37 P/Iratio + 1.27 black)(a) Using a spreadsheet program such as Excel, plot the following logistic regression function with asingle X, i =where 0 = -4.13, 1 = 5.37, 2 = 1.27. Enter values for X1

Introduction to Econometrics, 3e (Stock)Chapter 11 Regression with a Binary Dependent Variable11.1 Multiple Choice1) The binary dependent variable model is an example of aA) regression model, which has as a regressor, among others, a binary variable.B) model that cannot be estimated by OLS.C) limited dependent variable model.D) model where the

12 Copyright © 2015 Pearson Education, Inc. 7) Studies of the effect of minimum wages on teenage employment typically regress the teenage employment to population ratio on the real minimum wage or the minimum wage relative to average hourly earnings using OLS. Assume that you have a cross section of

1 Copyright © 2015 Pearson Education, Inc. Introduction to Econometrics, 3e (Stock) Chapter 12 Instrumental Variables Regression 12.1 Multiple Choice 1) Estimation of the IV regression model A) requires exact identification. B) allows only one endogenous regressor, which is typically correlated with the error

Introduction to Econometrics, 3e (Stock)Chapter 13 Experiments and Quasi-Experiments13.1 Multiple Choice1) The following are reasons for studying randomized controlled experiment in an econometrics course,with the exception ofA) at a conceptual level, the notion of an ideal randomized controlled experiment provides a benchmarkagainst which to judge estimates of causal effects in

13 Copyright © 2015 Pearson Education, Inc. 13.3 Mathematical and Graphical Problems 1) Your textbook mentions use of a quasi-experiment to study the effects of minimum wages on employment using data from fast food restaurants. In 1992, there was an increase in the (state) minimum wage in

Introduction to Econometrics, 3e (Stock)Chapter 14 Introduction to Time Series Regression and Forecasting14.1 Multiple Choice1) Pseudo out of sample forecasting can be used for the following reasons with the exception ofA) giving the forecaster a sense of how well the model forecasts at the end of the sample.B) estimating the

b. Not much has changed. The intercept became smaller, but was statistically insignificant anyway. Theslope coefficient increase somewhat (as did the Regression R2 with it) and its t-statistic also becamestronger. Some of this is the result of data revisions (even for the old sample period the slope coefficientincreased somewhat) while

Introduction to Econometrics, 3e (Stock)Chapter 15 Estimation of Dynamic Causal Effects15.1 Multiple Choice1) A distributed lag regressionA) is also called AR(p).B) can also be used with cross-sectional data.C) gives estimates of dynamic causal effects.D) is sometimes referred to as ADL.Answer: C2) Heteroskedasticity- and autocorrelation-consistent standard errorsA) result in the OLS

Answer:(a) In that case the coefficients represent dynamic multipliers.Lag number01234MonetaryDynamicMultiplier0.0060.2350.3440.3850.425MonetaryCumulativeMultiplier0.0060.2410.5850.9701.395FiscalDynamicMultiplier0.170-0.044-0.003-0.0790.018FiscalCumulativeMultiplier0.1700.1260.1230.0440.062To test for the significance of the cumulative dynamic multipliers and the long-run cumulative dynamicmultiplier, the equation must be reestimated with all regressors appearing in differences with theexception of the longest lag. The coefficients of these regressors then represent cumulative dynamicmultipliers

3) Purchasing power parity (PPP), postulates that the exchange rate between two countries equals theratio of the respective price indexes or ExchRate =(where ExchRate is the foreign exchange ratebetween the two countries, and P represents the price index, with f indicating the foreign country). Thelong-run version of PPP implies that

Introduction to Econometrics, 3e (Stock)Chapter 16 Additional Topics in Time Series Regression16.1 Multiple Choice1) A vector autoregressionA) is the ADL model with an AR process in the error term.B) is the same as a univariate autoregression.C) is a set of k time series regressions, in which the regressors are lagged

1 Copyright © 2015 Pearson Education, Inc. Introduction to Econometrics, 3e (Stock) Chapter 17 The Theory of Linear Regression with One Regressor 17.1 Multiple Choice 1) All of the following are good reasons for an applied econometrician to learn some econometric theory, with

5) In Chapter 10 of your textbook, panel data estimation was introduced. Panel data consist ofobservations on the same n entities at two or more time periods T. For two variables, you have(Xit, Yit), i = 1,..., n and t = 1,..., Twhere n could be the U.S. states. The

1 Copyright © 2015 Pearson Education, Inc. Introduction to Econometrics, 3e (Stock) Chapter 18 The Theory of Multiple Regression 18.1 Multiple Choice 1) The extended least squares assumptions in the multiple regression model include four assumptions from Chapter 6 (ui has conditional mean zero;

9) The expectations augmented Phillips curve postulates△p = π – f (u – ),where △p is the actual inflation rate, π is the expected inflation rate, and u is the unemployment rate,with "–" indicating equilibrium (the NAIRU – Non-Accelerating Inflation Rate of Unemployment). Underthe assumption of static expectations (π =

Introduction to Econometrics, 3e (Stock) Chapter 2 Review of Probability 2.1 Multiple Choice 1) The probability of an outcome A) is the number of times that the outcome occurs in the long run. B) equals M x N, where M is the number of occurrences and N is the

10) during the last few days before a presidential election, there is a frenzy of voting intention surveys. on a given day, quite often there are conflicting results from three major polls. (a) think of each of these polls as reporting the fraction of successes (1s) of a bernoulli

Introduction to Econometrics, 3e (Stock) Chapter 3 Review of Statistics 3.1 Multiple Choice 1) An estimator is A) an estimate. B) a formula that gives an efficient guess of the true population value. C) a random variable. D) a nonrandom number. Answer: C 2) An estimate is A) efficient

(b) The estimated regression is as follows:= -27.05 + 1.35 × Pr edExRateR2 = 0.994, n = 29, SER = 122.15For PPP to hold exactly, you would expect an intercept of zero and a slope of unity. Since we do notknow the standard error of the slope and the intercept,

Introduction to Econometrics, 3e (Stock)Chapter 4 Linear Regression with One Regressor4.1 Multiple Choice1) When the estimated slope coefficient in the simple regression model, 1, is zero, thenA) R2 = .B) 0 < R2 < 1.C) R2 = 0.D) R2 > (SSR/TSS).Answer: C2) The regression R2 is defined as follows:ESSA)TSSRSSB)TSS (Y

11) You have collected 14,925 observations from the Current Population Survey. There are 6,285 females in the sample, and 8,640 males. The females report a mean of average hourly earnings of $16.50 with a standard deviation of $9.06. The males have an average of $20.09 and a standard deviation

Introduction to Econometrics, 3e (Stock) Chapter 5 Regression with a Single Regressor: Hypothesis Tests and Confidence Intervals 5.1 Multiple Choice 1) Heteroskedasticity means that A) homogeneity cannot be assumed automatically for the model. B) the variance of the error term is not constant. C) the observed units have different

6.3 Mathematical and Graphical Problems1) Your econometrics textbook stated that there will be omitted variable bias in the OLS estimator unlessthe included regressor, X, is uncorrelated with the omitted variable or the omitted variable is not adeterminant of the dependent variable, Y. Give an intuitive explanation for these two conditions.Answer:

Introduction to Econometrics, 3e (Stock)Chapter 6 Linear Regression with Multiple Regressors6.1 Multiple Choice1) In the multiple regression model, the adjusted R2, 2A) cannot be negative.B) will never be greater than the regression R2.C) equals the square of the correlation coefficient r.D) cannot decrease when an additional explanatory variable is added.Answer:

1 Copyright © 2015 Pearson Education, Inc. Introduction to Econometrics, 3e (Stock) Chapter 7 Hypothesis Tests and Confidence Intervals in Multiple Regression 7.1 Multiple Choice 1) The confidence interval for a single coefficient in a multiple regression A) makes little sense because the

11) Using the 420 observations of the California School data set from your textbook, you estimate thefollowing relationship:= 681.44 - 0.61LchPctn=420, R2=0.75, SER=9.45where TestScore is the test score and LchPct is the percent of students eligible for subsidized lunch(average = 44.7, max = 100, min = 0).a. Interpret the regression

(c) The results here are similar to those in (b) in that the regression for the mining states is steeper thanthe one for the other states. Perhaps omitted variables play a role here, such as relative (oil) price shocksthat affect some states more than others. Oil prices fell considerably over

Introduction to Econometrics, 3e (Stock)Chapter 8 Nonlinear Regression Functions8.1 Multiple Choice1) In nonlinear models, the expected change in the dependent variable for a change in one of theexplanatory variables is given byA) △Y = f(X1 + X1, X2,... Xk).B) △Y = f(X1 + △X1, X2 + △X2,..., Xk+ △Xk)- f(X1,

5) In the case of perfect multicollinearity, OLS is unable to estimate the slope coefficients of the variablesinvolved. Assume that you have included both X1 and X2 as explanatory variables, and that X2 = X , sothat there is an exact relationship between two explanatory variables. Does this pose a

20 Copyright © 2015 Pearson Education, Inc. where the "*" variables represent true, or permanent, per capita income components, while v and w are temporary or transitory components. Subtraction of the initial period from the current period then results in Ignoring, without loss of generality, the constant

Introduction to Econometrics, 3e (Stock)Chapter 9 Assessing Studies Based on Multiple Regression9.1 Multiple Choice1) The analysis is externally valid ifA) the statistical inferences about causal effects are valid for the population being studied.B) the study has passed a double blind refereeing process for a journal.C) its inferences and conclusions can