LOYOLA COLLEGE (AUTONOMOUS), CHENNAI – 600 034
M.A. DEGREE EXAMINATION – ECONOMICS
SECOND SEMESTER – APRIL 2006
RF 38
EC 2807 - ECONOMETRICS
Date & Time : 26-04-2006/9.00-12.00
Dept. No.
Max. : 100 Marks
PART - A
Answer any FIVE questions in about 75 words each.
(5 x 4 = 20 Marks)
1. Distinguish between ‘Mathematical Economics’ and ‘Econometrics’.
2. What is meant by dummy variable trap?
3. What is speciafication error?
4. Define ‘Multicollinearity’.
5. Define the stochastic error term in an econometric model.
6. How do you use rank condition in identifying a simultaneous equation model?
7. What is seasonal adjustment?
PART - B
Answer any FOUR questions in about 250 words each.
(4 x 10 = 40 Marks)
8. Discuss the properties of a good estimator.
9. Derive multicollinearity and its consequences and discuss the remedial measures.
10. Derive the consequences of specification error.
11. Define heteroscedasticity and explain its consequences.
12. Derive the estimates vector under grouping of observations.
13. Distinguish between error in the measurement of dependent variable and that of the
independent variable.
14. Discuss Almon’s transformation used in estimating a distributed lag model.
PART - C
Answer any TWO questions in about 900 words each.
(2 x 20 = 40 Marks)
15. Show that the efficiency of OLS estimate is less than that of GLS under GLS assumptions.
(Use estimate of OLS and GLS variances)
16. y1t  12 y2t  13 y3t   11 x1t  u1t is one equation in a three equation model which contains
three other exogenous variables x2t , x3t and x4t . Observations gives the following matrices.
 20 15 5 
y ' y  15 60 45
 5 45 70 
4
5
2 2

y ' x  0 4 12 5
 0 2 12 10 
17. Derive 2SLS estimates.
18. Derive the following results:
(i) e = Mu
(ii) e’e = u’Mu
(iii)E(e’e)=(n-k)2
2
1
 ' x ' y    y
x
(iv) R 2 
2
1
y ' y    y
n
_____________
1
0
x'x  
0

0
0 0 0
2 0 0 
0 4 0

0 0 5