LOYOLA COLLEGE (AUTONOMOUS), CHENNAI – 600 034
M.A. DEGREE EXAMINATION – ECONOMICS
SUPPLEMENTARY EXAMINATION – APRIL 2007
EC 2807 - ECONOMETRICS
Date & Time: 25/06/2007 / 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. Define ‘Econometrics’.
2. Distinguish between ‘homoscedasticity’ and ‘heteroscedasticity’.
3. What is a dummy variable?
4. What is the use of a non-linear transformation in econometrics?
5. What are the properties of a good estimator?
6. Differentiate between OLS & GLS methods of estimation.
7. What is simultaneity bias?
PART - B
Answer any FOUR questions in about 250 words each. (4 x 10 = 40 Marks)
8. Derive the two normal equations by minimizing the error sum of squares.
9. Discuss the four non-linear transformations and their applications in economics.
10. Show that the OLS estimates are BLUE from a general linear model.
11. Discuss the use of R2, t-test and F-test in econometric estimation.
12. Derive the estimates of the coefficients of general linear model under GLS
assumptions.
13. Discuss Koyck’s transformation.
14. Derive the estimates vector under grouping of observations in the estimation of
a distributed lag model.
PART - C
Answer any TWO questions in about 900 words each.
(2 x 20 = 40 Marks)
15. Define ‘Autocorrelation’, Derive E(uu’) in the presence of autocorrelation.
Discuss the consequences and remedial measures.
16. Discuss Indirect Least Squares and 2 SLS as methods of estimating an exactly
identified equation and a over identified equations.
17. Discuss the identificability state of the following model (using both structural
and reduced form)
y1t  2 y2t  7 x1t  4 x2t  x3t  8 x4t  u1t
y2t  2 y1t  y3t  x1t  7 x3t  9 x5t  u2t
y3t  2 y1t  7 x2t  7 x3t  14 x4t  u3t
18. Derive the 3SLS estimates.
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