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MPhil Econometrics Question Final Exam 2022

The document outlines a final exam for a Master's level econometrics course, providing two groups of questions testing different concepts in econometrics. Group A contains 3 questions asking students to explain econometric research steps, autocorrelation testing and modeling, and estimating and analyzing a linear regression model. Group B contains 7 additional questions covering assumptions of ordinary least squares, estimating multi-variable models, heteroscedasticity testing, linear probability models, confidence interval estimation, and applying concepts to example datasets.

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Dolendra Paudel
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90 views

MPhil Econometrics Question Final Exam 2022

The document outlines a final exam for a Master's level econometrics course, providing two groups of questions testing different concepts in econometrics. Group A contains 3 questions asking students to explain econometric research steps, autocorrelation testing and modeling, and estimating and analyzing a linear regression model. Group B contains 7 additional questions covering assumptions of ordinary least squares, estimating multi-variable models, heteroscedasticity testing, linear probability models, confidence interval estimation, and applying concepts to example datasets.

Uploaded by

Dolendra Paudel
Copyright
© © All Rights Reserved
Available Formats
Download as DOC, PDF, TXT or read online on Scribd
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PURBANCHAL UNIVERSITY

2022

Master of Philosophy in Management/ Second Semester /Final


Time: 4:00 Hours Full Marks: 100
ECO 682: Econometrics Pass Marks: 40

Candidates are expected to answer the questions in their own words as far as
practicable. The figures in the margin indicate full marks.

Group A
Answer any TWO questions. ( 2×15 = 30 )
1. Explain the main steps involved in econometric research by taking
an example from economics or management.
2. What is autocorrelation? Explain the method of Durbin-Watson
test for autocorrelation. Also describe about one remedial measure to
remove autocorrelation.
(3+10+2)
3. Following table gives the information on supply of a
commodity (Y) measured in tons and price (X) measured in Euros.
Obsn. 1 2 3 4 5 6 7 8 9 10 11 12
Y 77 67 52 56 57 69 55 58 76 53 64 72
X 10 12 6 10 9 9 8 7 12 6 8 11
a) Estimate the linear regression equation of Y on X. (10)
b) Calculate the variances of the coefficients. (2)
c) Construct the 95 percent confidence interval for the coefficients. (1)
d) Find the adjusted R-square. . (2)

Group B
Answer any SEVEN questions. ( 7×10 = 70 )
4. Explain the assumptions of ordinary least squares.
5. Explain the procedure to estimate the parameters of a linear regression
equation with three independent variables by using the method of ordinary least
squares.
6. Discuss the procedure of White’s or Goldfeld-Quandt method for
the test of heteroscedasticity in a linear regression model.
7. Write a note, with its properties, on linear probability model
(LPM).
8. Explain about the confidence bands for the interval estimation of
the dependent variable. Why are these bands not linear? (8+2)
9. A researcher estimated a regression equation of wheat production
(Y), measured in quintals, on fertilizer (X), measured in kgs, with 10
observations. She estimated the regression equation as Ŷ = 27.12 + 1.66 X
with the intermediate results as Mean of X = 18, Σx2 = 576, and Σû2 = 47.31
(as usual notations). Calculate the 95 percent confidence (or forecast)
interval for Y if (a) X = 15 and (b) X = 25.
10. A researcher is trying to estimate a linear regression equation of Y
on three independent variables X1, X2, and X3 with 35 observations. Before
estimating the regression equation she tries to test for any
multicollinearity in the model. She then calculated simple correlation
coefficients between the independent variables and found the results as
follows (as usual notations): r12 = 0.5, r13 = 0.4, and r23 = 0.2.
Test whether there exists any multicollinearity by applying the Farrar-
Glauber test and suggest a measure to remove multicollinearity, if there
is any. (8+2)
11. The following intermediate results (the variables are measured
from the deviations taken from their respective means) are given for the
real per capita income in thousands of US dollars (Y) with the percentage
of the labor force in agriculture (X1) and the average years of schooling of
the population over 25 years of age (X2) for 15 countries.
Mean of Y = 9 Mean of X1 = 7 Mean of X2 = 12
Σx1y = ‒28 Σx2y = 38 Σx1x2 = ‒12
Σx12 = 60 Σx22 = 74 Σy2 = 40
a) Fit a linear regression equation of Y on X1 and X2. (7)
b) Find the variances of slope coefficients. (3)

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