ECON 3330/7331 ECONOMETRIC THEORY Tutorial 6 Questions

Hello, dear friend, you can consult us at any time if you have any questions, add WeChat: daixieit

ECON 3330/7331

ECONOMETRIC THEORY

Tutorial 6 Questions

(for 9 September 2021)

1. What is meant by the efficiency of an estimator? Which estimator is known as BLUE? 1

2.  Starting from equation (3.42) and using the result proved in Ex 3.9, prove that if E(ut(2)) = σ0(2) and E(usut ) = 0 for all s  t, then Var(uˆt ) = (1 _ ht 

3.  Consider two linear regressions, one restricted and the other unrestricted:

y = Xβ + u

y = Xβ + Zγ + u

Show that, in the case of mutually orthogonal regressors, with X\ Z = 0 the estimates of β from two regressions are identical.

4. Remaining R exercises from Week 5.