上海财大研究生高级计量经济学期末试卷.pdf

上海财经大学研究生试题命题纸 （20 --20 学年 第 学期） 课程名称：计量经济学（I ）（经济学院各专业）（B ） 命题教师：周亚虹 1. Given a random variables y, and random vectors x, z. The linear projection of y on x is defined as ：L (y | x ) xE (x x )−1E (x y ) . (a) Let u y =−L( y | x) , show that E (x u ) 0 (b) show that L (L (y | x, z ) | x ) L (y | x ) (c) show that L (E (y | x, z ) | x ) L (y | x ) 2 ．Let y and z be random scalars, and x be a 1×K random vector, where one element of x can be unity to allow for a nonzero intercept. Consider the population model 2 E (y | x, z ) xβ=+γz , Var( y | x, z) σ . where interest lies in the K ×1vector β . To rule out trivialities, assume thatγ ≠0 . In addition, assume that x and z are orthogonal in the population: E (x z ) 0 .Consider two estimators of β ˆ ˆ based on N independent and identically distributed observations: (1) β (obtained along withγ ) is % from the regression of y on x and z; (2) β is from the regression of y on x. Both estimators are consistent for β . (along with the standard rank conditions) (a) Show that , without and additional assumptions(except those needed to apply the law of large % ˆ numbers and central limit theorem), β−β − β−β is always positive