[問題] 計量經濟學的問題
1. Consider the three-equation model
Y1=β13*Y3+R12*X2+U1
Y2=β21*Y1+β23*Y3+R21*X1+R22*X2+U2
Y3=R33*X3+U3
where Y1, Y2, and Y3 are endogenous, and X1, X2, and X3 are exogenous .
Discuss the identification of each of the model, base on the order and
rank conditions.
Now suppose that you want to estimate the first equation by two-stage least
squares, but you have only an ordinary least squares program
available. Explain carefully, step by step, how you would estimate
2. The structure of a model with four endogenous and three exogenous variables
is as follows(1 indicates presence and 0 absence of the variable
in the equation):
1 0 1 1 1 0 0
1 1 1 0 0 1 1
0 0 1 0 1 0 0
1 0 1 1 0 1 0
Which of the four equations are identified?
3. Please summarize the causes, the consequences,
the detection methods (if available) and the solutions (if available)
for the following OLS model specification problems:
1. Omitting a relevant variable
2. Including an irrelevant variable
3. Wrong functional form
4. Changing parameter (model stability)
5. Changing variance (heteroskedasticity)
6. Serially correlated residual (autocorrelation)
7. Simultaneity
8. Multicollinearity
9. Errors in variable (measurement error)
幫朋友PO的 如果會的鄉民再請幫忙一下唷 感激不盡
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