第一章习题

y1 y2 x1 x2 y1 7 6 2 2 y2 6 23 2 6 x1 2 2 2 0 x2 2 6 0 2 x3 0 8 0 2 x3 0 8 0 2 4 Estimate the parameters of the second equation using the 2SLS or IV method. (c) How would you compute the standard deviation of?1and?2? (Numerical output is not required)

10、You are doing a study of annual salary and alcohol consumption. Suppose that a person’s

salarySi(annual

salary

measured

in

dollars)

and

alcohol

consumptionAi(measured in average drinks per day) are jointly determined by

Si?a0?a1Ai?a2Ei?u1i Ai?b0?b1Si?b2Pi?u2i

(1)

(2)

whereEiis the level of education of person i andPiis a local price index for alcohol which includes state and local taxes. You observe the data??Si,Ai,Ei,Pi??i?1,2,?,nfor n agents. Note we are assuming thatSiandAiare endogenous, whileEiandPiare exogenous; our goal is to estimate ?a0,a1,a2,b0,b1,b2?。

a) Solve forSiin terms ofEiandPi.Briefly show why you would not want to estimate equation (2) by OLS.

b) Suppose that all the agents in our sample lived in the same city. Would this create a problem in estimating the model?

c) Write down this system in reduced form (you do not need to solve for the reduced form parameters in terms of the structural parameters). Is it identified? Explain how you would estimate this system by two-stage least squares. (Hint: You will need to do two first stage regressions.)

参考答案

第一章 导论:

1~5：A , D, C, ABCDE, ABD; 6～10 B, BC, A, D; 11、C

第二、三章：

一、单选

1～5：DBABC 6~10: DCDBC 11~15: DBBBB 16~20: DBAAC 21~25: CCCBC 16~30: AADDD 31~33: B,C,BD 二、多选

1～5：CD ABCD ACD ABCD ABCDE

6~10：BCD BC 无答案 BC ABC 三、判断

错 错 错 对 错 第四、五、六章： 一、单选

1~5： AABDA; 6~10: AAAB, A~D; 11~15: AAADA; 16~20: AAAAD; 21~25: DBDBB; 26~30: AD,AD,A,B,B,C 31~35: BACCB 36~40: BDCDB; 41~45: DD,(BD),DB; 46~50: BDBDB; 51~55: BBCCC; 56~60: AC无无C; 61~65: BAACD; 65~69: ABBA. 二、多选

1～5： EF ACEF ABCDE AD(当成不完全多重共线性处理) BCE

6～10：ABC CDE BCDF ACDE ABDEF 11~15：CDE BC CE BCDEFG B 16~20：ACD ABD ABD ABD ACD 21~25：ACD B ABCD ABE AC 26~30：BC CD CE ADE BCF 第七章 分布滞后模型与自回归模型

一、单选

1～5：A（k改为s）, ADDB 6~10: BCCBD 11~13: D, AB, C 第八章 单一方程模型得专门问题一

一、单选

1～5：ACDBA 5～10：BBABB 11～15：BCACC 二、多选

1～5：ADE ABCD BD ABCDE ABE 三、判断 错 错 对 对

第九章 单一方程模型得专门问题二

一、选择题 A D ABC 四、判断

1～5：对 对 错 对 对 6～8： 错 错 错 第十章 联立方程组模型

一、单选

1～5：BCBAB 6~10: DDDDB 11~15: DDDCB 16~20: ADADC 21~25: A,B,BD,C,D 二、多选

1, CD 2, ABD 3, ABCDE 4, ABC 5, CDE 6, ABD