作者reluctant (生命就是燃烧)
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标题[试题] 98上 张胜凯 计量方法入门 期末考
时间Sat Sep 12 22:00:42 2009
课程名称︰计量方法入门
课程性质︰必修
课程教师︰张胜凯
开课学院：社会科学院
开课系所︰经济研究所
考试日期（年月日）︰98年9月11日
考试时限（分钟）：100
是否需发放奖励金：是
（如未明确表示，则不予发放）
试题 :
Problem 1. True of False (25 points (5,5,5,5,5))
1. If yi = xi'β + εi, xi is an element of R and E(εi|xi) = 0,
then εi is independent of xi.
2. If yi = xi'β + εi, xi is an element of R and E(εi|xi) = 0,
then E(xi^2εi) = 0.
3. If yi = xi'β + εi, xi is an element of R and E(xiεi) = 0,
then E(xi^2εi) = 0.
4. If Y is uncorrelated with E(Y|X), then Y is uncorrelated with X.
5. If Y is mean independence of X, then Y^2 is mean independence of X.
Problem 2.(25 points (5, 10, 10))
Let θcap = (θ1cap, θ2cap)' be a N square-root- asymptotically normal
estimator for θ = (θ1, θ2)'.
Let γcap = 2θ1capθ2cap be an estimator of γ = 2θ1θ2.
1. Is γcap a consistent estimator of γ? Explain.
2. Find Avar(γcap) in terms of θ and Avar(θcap).
3. If, for a sample of data, θcap = (1,2)' and Avar(θcap) is estimated as
[1 -0.5 ]
[-0.5 2 ]
find the asymptotic standard error of γcap.
Problem 3.(25 points (5,10,10))
Let the joint pdf by
f(x,y) = 6xy^2 , 0 < x < 1, 0 < y < 1.
= 0 , elsewhere
(1) Verify f(x,y) is a legitimate joint pdf function.
(2) Find E(Y|X). Is Y mean independent of X ?
(3) Find BLP of Y given X. Is Y uncorrelated with X ?
Problem 4.(25 points (15,10))
(a) Let Xi, i = 1,2,.... be an independent Berboulli(p) random variables and
let Yn = ΣXi / n. Then, find the asymptotic distribution of Yn/(1-Yn).
(b) Let X1, ..., Xn be a random sample from a population with meanμ and
varianceσ^2.
Find E((Xnbar - μ)n^0.5/2σ) and Var((Xnbar - μ)n^0.5/2σ).
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※ 发信站: 批踢踢实业坊(ptt.cc)
◆ From: 123.193.251.73
※ 编辑: reluctant 来自: 123.193.251.73 (09/12 22:02)
1F：推 gavin79115 :98上不是还没开始吗@@XD 09/12 22:23
2F：推 Jackliu2619 :原po批币缺很大喔 科科 这科的开课方式考古题应该仅 09/12 22:40
3F：→ Jackliu2619 :供参考而已吧 XD 09/12 22:40
4F：推 abacada :期前考? 09/13 15:00
5F：→ TINTINH :这个我也不知道是不是该收在经济系 请板主指示 感谢! 09/13 16:08
6F：推 youngsam :经济所硕一必修课 於暑假上课 09/13 22:02
7F：→ youngsam :不过每年授课老师有可能不同 09/13 22:02
8F：→ youngsam :授课内容也由授课老师决定 09/13 22:02
9F：推 abacada :看样子是98上没错 只是暑假就开课这样 09/18 22:04
10F：推 abacada :大概像一些科法所那样吧 经研所的课 麻烦小板主罗~ 09/18 22:04
11F：推 TINTINH :已收:) 09/21 10:01
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※ 发信站: 批踢踢实业坊(ptt.cc)
◆ From: 140.112.211.45
※ 编辑: Jackliu2619 来自: 140.112.211.45 (09/09 12:20)
12F：推 Dboy:看到这个就想到我那白痴的delta method.... 09/09 13:17
13F：推 assamb:谢谢助教呵呵 09/09 15:29
14F：推 kokominana:非常谢谢JACK大热心贡献 不过我考完才看到.... 09/12 19:38
15F：→ Jackliu2619:没差 反正这份考古题也只命中一题而已(8%)..... 09/12 21:47