清华经管计量经济学习题1.pdfVIP

Problem Set 1 Due on 03/17/2014, BEFORE 9:50am1 You are required to write your solutions in English. Please show your work. You do not need to copy the questions. 1. Find E (E (E (Y |X , X , X ) |X , X ) |X ). 1 2 3 1 2 1 2. If E (Y |X ) = a + bX , find E (Y X ) as a function of E (X ) and E X 2. 3. Suppose that the random variables Y and X only take the values 0 and 1, and have the follow- ing joint probability (mass) distribution X = 0 X = 1 Y = 0 0.1 0.2 Y = 1 0.4 0.3 (a) Find the marginal pmf for X . (b) Find the marginal pmf for Y . (c) Find the marginal CDF for X . 2 2 (d) Find E (Y |X = 0), E Y |X = 0 , E (Y |X = 1) and E Y |X = 1 . 4. Proof that Var (X + b) = Var (X ) for a continuous random variable X with pdf f (·). 5. Suppose that the random variable X have the following pmf Values of X -1 0 1 Probability 0.3 0.4 0.3 and Y = X 2 . (a) Find E (X ) and E (Y ). (b) Show that Cov (X, Y ) = 0. (c) Show that X and Y are not independent. (d) What do you learn from this exercise? 6. Suppose that you are asked to conduct a study to determine whether smaller class sizes lead to improved student performance of first-year high school students. (a) If you could conduct any experiment you want, what would you do? Be specific. (b) More realistically, suppose you can collect observational data on several thousand first- year high school students in a given city. You can obtain