연세대 계량경제학 족보 econo1 fall final exam

Final Exam for Econometrics(1)
Fall 2013
Prof. Tae-Hwan Kim

The weight of each question is in square bracket. Good luck!
1. [30 points] About the Weak Law of Large Numbers (WLLN).
(i) State clearly what is the WLLN.
(ii) Prove the WLLN
(iii) Explain why the WLLN is important when studying the OLS estimator. (You don’t have to prove anything here. Just explain!)

2. [30 points] About the White test for heteroscedasticity.
(i) State clearly how to implement the White test.
(ii) Suppose that the error term in the DGP is independent of the explanatory variables. How often do you expect to reject the null of homoscedasticity if you repeatedly use the White test in this situation

3. [40 points] Consider ; where and are vectors given by and we don’t know if is normally distributed. We are interested in the following null hypothesis: .
(i) Explain how to test the above null using the asymptotic Wald statistic (denoted by ).
(ii) Show that if is sufficientl…