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FACULTY OF ECONOMICS

M.Phil. in Economics

M.Phil. in Economic Research

Subject M300 Econometric Methods

Exercise Sheet 1

1. Consider the following joint probability density

fX;Y (x; y) =

(x + xy + y) =4 if x 2 [0; 1] ; y 2 [0; 2]

0 otherwise

= [0; 2] ; and

fY (y) =

x2

yx

x + xy + y

dx = (1 + y)

+

4

8

4

=

x=0

1 + 3y

8

=

[0; 1] ; and

fX (x) =

x + xy + y

y2

xy

dy = (x + 1)

+

4

8

4

=

y=0

1 + 2x

:

2

fY jX (yjx) =

x + xy + y

fX;Y (x; y)

=

:

fX (x)

2 + 4x

Marginal expectation of Y is

Z 2

y + 3y 2

4

8

5

E (Y ) =

dy =

+ = :

8

16 8

4

0

Marginal expectation of X is

Z 1

x + 2x2

1 2

7

E (X) =

dx = + =

:

2

4

6

12

0

Conditional expectation of Y is

Z 2

2X + 83 (X + 1)

X + Xy + y

7X + 4

E (Y jX) =

y

dy =

=

2

+

4X

2

+

4X

3 + 6X

0

(b) Whats the BLP of Y given X? Graph the results from (a) and (b).

1

where

= E (Y )

E (X) ;

and

=

Cov (Y; X)

:

V ar (X)

To compute Cov(Y; X) :

E (XY )

4X + 7X 2

=

= E [XE (Y jX)] = E

3 + 6X

2

7

=

+

:7222

6 18

4x + 7x2

dx

6

Therefore,

Cov (Y; X) = E (XY )

E (X) E (Y )

:7222

7 5

12 4

0:0070:

To compute Var(X) :

E X

x2 + 2x3

1 1

5

dx = + =

;

2

6 4

12

so that

2

V ar (X) = E X 2

E (X) =

72

122

5

12

0:0764:

Therefore,

0:0070

0:0764

and

0:0916;

5

+ 0:0916

4

7

12

1:3034:

OLS of Y on X (no constant) estimate?

Solution: OLS of Y on a constant and X estimates BLP:

BLP = 1:3034

0:0916 X:

Note that

OLS

^ OLS

(xi

P

^

x) (yi

(xi

OLS

y)

2

x)

x:

d (X; Y )

Cov

Vd

ar (X)

1.34

1.32

1.3

1.28

1.26

1.24

1.22

1.2

0

0.2

0.4

0.6

0.8

These equations are the sample analogs of the equations dening the

coe cients of the BLP. OLS of Y on X (no constant) estimates the

BLP of Y when the intercept is restricted to be zero. Note that the

mean squared error of such a constrained linear predictor is

M SE = E (Y

bX) :

E (Y

bX) X = 0:

Hence,

b=

E (XY )

E (X 2 )

0:7222

5=12

1:7333:

have

P

^bOLS = Pxi yi ;

x2i

2. Suppose that Y and X are n 1 vectors of data, and the following conditions hold: (1) Y = X + e; P

(2) rank (X) = 1; P

(3) E (ejX) = 0 and (4)

n

n

V ar (ejX) = 2 In : Let X = n1 i=1 Xi and Y = i=1 Yi :

(a) Consider the estimator ~ = Y =X: Show that ~ is linear and conditionally unbiased. Calculate its conditional variance and compare it

to the conditional variance of the OLS estimator.

Solution: ~ =

Y

X

10 Y

10 X :

Therefore ~ is linear in y

10 X

10 E (Y jX)

=

=

E ~ jX =

10 X

10 X

Hence, ~ is conditionally (and unconditionally) unbiased. For the

conditional variance, we have

2

n

10 V ar (Y jX) 1

=

V ar ~ jX =

2

0 X)2

0

(1

(1 X)

Let ^ OLS =

X0Y

X0X

2

X 0 V ar (Y jX) X

V ar ^ jX =

=

:

2

(X 0 X)

(X 0 X)

Since

X 0X =

n

X

x2i =

i=1

n

X

x)2 + nx2

(xi

nx2 =

i=1

we have

(X 0 X)

(10 X)2

n

(10 X)2

and therefore

V ar ^ jX

V ar ~ jX :

OLS is BLUE (note that the conditions of the Gauss-Markov theorem

are satised in this example).

(b) Suppose that you decide to use the rst m (< n) observations and

do OLS. Show that this estimator ^ (m) is linear and conditionally

unbiased, but not minimum conditional variance.

X0 y

Solution: ^ = 0m m : therefore ^ is linear in y: Further

m

Xm Xm

X 0 E (Ym jX))

X 0 Xm

E ^ m jX = m 0

= m0

=

Xm Xm

Xm Xm

Hence, ^ m is conditionally unbiased.

2

X 0 V ar (Ym jX) Xm

V ar ^ m jX = m

= 0

2

0 X )

Xm Xm

(Xm

m

Since X 0 X =

n

X

i=1

x2i

m

X

0

x2i = Xm

Xm , we have

i=1

(X 0 X)

4

2

0 X

Xm

m

and therefore

V ar ^ jX

V ar ^ m jX

(c) Could you suggest a minimum conditional variance, linear estimator

(not necessarily unbiased)?

Solution: Any constant has zero variance and is a minimum variance

estimator. It is biased (and rather silly) though.

3. STATA le problemset1.dta contains data from 1990 cross-section of the

NLSY (National Longitudinal Survey of Youth). The le contains wage

(variable w0), education (variable ed0), and age (variable a0) variables for

392 individuals. Create variables lwage=log(w0), educ=ed0, and age=a0.

(a) Regress lwage on the dummies for all possible combinations of values

of educ and age using command xi: regress lwage i.educ*i.age (executing this command will automatically create the dummies). This is

an example of saturated regression. Why do you think STATA omits

many dummy variables from the regression?

Solution: See attached log le. STATA omits many dummy variables because there are no observations where these dummies equal 1. Hence,

the dummy variables are identically equal to zero, which creates perfect multicollinearity.

(b) Consider the hypothesis that the conditional expectation function

2

E (lwagejeduc,age) is linear in educ, age and (age) . That is, E (lwagejeduc,age) =

2

0 + 1 educ+ 2 age+ 3 (age) . Since the linearity imposes a constraint on the CEF, we can call the regression of lwage on constant,

2

wage, age and (age) "restricted" regression. What is the "unrestricted" regression? Explain.

Solution: The unrestricted version is the saturated regression. The CEF

of dependent variable given explanatory variables in the saturated

regression is always linear. In this regression, the coe cient on the

dummy variable that equals one i educ=v1 and age=v2 (where

v1 and v2 are any possible values of education and age) is simply

E (lwagejeduc=v1 ,age=v2 ). The relationship between E (lwagejeduc=v1 ,age=v2 )

and E (lwagejeduc=v3 ,age=v4 ) (where v3 and v4 are some other possible values of education and age) may be arbitrary. No constraint is

imposed.

(c) Using results from the "restricted" and "unrestricted" regressions,

compute the (homoskedasticity-only) F statistic to test the hypothesis from (b). Do you accept or reject the null?

Solution: Recall that

F =

(SSRr SSRu ) =q

;

SSRu = (n k)

5

where q is the number of constraints, n is the number of observations, and k is the number of variables in the unconstrained regression. Let us count the number of constriants. In our data, there are

14 dierent values of education (only 13 dummies included to avoid

multicollinearity). The constrained regression E (lwagejeduc,age) =

2

0 + 1 educ+ 2 age+ 3 (age) "sets" all coe cients on the 13 dummies equal to the same unspecied value, which introduces 12 constraints. Next, there are two dierent values of age (only one dummy

is included to avoid multicollinearity). In the constrained regression,

age is omitted to avoid multicollinearity with age2. All in all, there

is only one coe cient corresponding to the age dummy in the saturated regression, and there is only one coe cient corresponding to

age2 in the restricted regression. Hence, no additional restriction results. Finally, there are 11 included interaction dummies in the saturated regression. No interaction eects is specied in the constrained

model. Eectively, this imposes 11 constraints (the coe cients on

the interaction dummies are set to zero). Hence, the total number of

constraints is q =12+11=23. (We could have computed this directly

by subtracting "model degrees of freedom df" (given in the ANOVA

outcome of the regression command) of constrained regression from

that of the unconstrained one. Further, n = 392; and k = 26: Hence,

(221:16 210:37) =23

210:37= (392 26)

0:82:

The 95% critical value of F (23; 366) is 1.5588. We do not reject the

null.

4. Consider the regression model

yi = x0i + ei ; i = 1; :::; n;

where (1) (yi ; xi ) are i.i.d, (2) E (xi x0i ) is non-degenerate, (3) E (ei jxi ) = 0;

and (4) V ar (ei jxi ) = 2 : Assume that xi does not contain a constant term.

The corresponding uncentered coe cient of determination is dened by

Pn

y^2

R2 = Pni=1 i2

i=1 yi

(a) Show that

Pn

0 Pn

i.

^i2 =n = ^ ( i=1 xi x0i =n) ^ .

i=1 y

Solution:

n

X

i=1

y^i2 =n =

n

X

i=1

(x0i b )2 =n =

6

n

X

i=1

0

0

( b xi )(x0i b )=n = b (

n

X

i=1

xi x0i =n) b :

Pn

p

ii.

^i2 =n ! 0 E[xi x0i ] .

i=1 y

Solution: By the Law of Large Numbers

n

X

i=1

xi x0i =n ! E[xx0 ]:

p

Since, OLS is consistent, b ! : By Continuous Mapping Theorem,

n

n

X

0 X

p

y^i2 =n = b (

xi x0i =n) b ! 0 E[xi x0i ] :

i=1

Pn

p

2

i=1 yi =n !

i=1

iii.

+ E[xi x0i ] .

Solution: By the Law of Large Numbers

n

X

i=1

0

R2 !

E[xi x0i ]

:

+ 0 E[xi x0i ]

Solution: This convergence follows from (ii), (iii) and the Continuous Mapping Theorem (actually, it is su cient to use Slutskys

theorem).

5. Consider regression

yig =

1 xg

+ eig ;

(1)

E (eig ejg ) =

2

e e:

linear, the size of each cluster be n, and the number of clusters in the

sample be G.

(a) A colleague writes (1) using matrix notations as

y = X + e:

Explain what y; X; ; and e are.

Solution:

0

y = (y11 ; y21 ; :::; yn1 ; y21 ; :::; yn2 ; :::; yG1 ; :::; yGn ) ;

X=

1

x1

1

x1

:::

:::

1

x1

1

x2

7

:::

:::

1

x2

:::

:::

1

xG

:::

:::

1

xG

+ 0 E[xx0 ]

=(

0;

0

1)

and

e = (e11 ; e21 ; :::; en1 ; e21 ; :::; en2 ; :::; eG1 ; :::; eGn ) :

0

0

0

2

e diag(1n 1n ; :::; 1n 1n )

| {z }

n tim es

is the Kronecker product)

{z

G tim es

1n 10n ; where

Solution: The elements of E (ee0 jX) outside the n n diagonal blocks are

zero assuing eig1 and ejg2 are uncorrelated for g1 6= g2 : The elements

in the g th n n block are equal to E (eig ejg ) = e 2e = 2e : Hence,

the block looks like follows

1

0 2

2

2

:::

e

e

e

2

2 C

B 2e

:::

2

0

e

e C

g-th block= B

@ ::: ::: ::: ::: A = e 1n 1n :

2

2

2

:::

e

e

e

(c) Show that E (X 0 ee0 XjX) =

2

0

e nX X

Solution:

E (X 0 ee0 XjX) = X 0

2

0

0

e diag(1n 1n ; :::; 1n 1n )X:

10n

x1 10n

X=

:::

:::

{z

G tim es

10n

xG 10n

Hence,

0

E (X ee XjX)

=

=

!

PG

PG

0

0

0

0

g=1 xg 1n 1n 1n 1n

g=1 1n 1n 1n 1n

PG

PG

0

0

0

2 0

g=1 xg 1n 1n 1n 1n

g=1 xg 1n 1n 1n 1n

!

PG

1

2 2

i=1 xi

P

P

n

= 2e nX 0 X

G

G

e

2

x

x

i=1 i

i=1 i

2

e

1 + (n

1) e .

conditioning notation, and writing V ar ^ 1 instead of V ar ^ 1 jX .

We have

V ar ^ 1

V ar (X 0 X)

(X 0 X)

X 0 e = (X 0 X)

2

0

e nX X

(X 0 X)

E (X 0 ee0 X) (X 0 X)

1

2

0

e n (X X)

Now,

V arhom ^ 1 =

(X 0 X)

2

e

Therefore,

V ar ^ 1 =V arhom ^ 1 = n:

6. Consider a poor elderly population that uses emergency rooms for primary

care. Let yi measure health of the i-th randomly selected person, and let

di be the dummy that equals 1 i the person is admitted to the hospital.

Let the potential outcomes y1i and y0i be dened as

yi =

y1i if di = 1

:

y0i if di = 0

(a) Explain in words what is the meaning of E (y0i jdi = 1) and of E (y1i jdi = 0) :

Solution: E (y0i jdi = 1) is the average of what the health of all those admitted to the hospital would have been, had they been not admitted.

Similarly, E (y1i jdi = 0) is the average of what health of all those not

admitted to the hospital would have been, had they been admitted.

(b) Why it may be the case that E (y0i jdi = 1) 6= E (y0i jdi = 0)?

who are more likely having problems if not admitted (low y0i ) have

a higher chance of being admitted.

(c) What is the likely sign of E (y0i jdi = 1)

Solution: Negative (see (b)).

than the causal eect of hospitalization, assuming this eect is the

same for everybody?

Solution: Smaller. Negative selection bias.

7. In section 3.2.3 of Angrist and Pischkes textbook "Mostly Harmless Econometrics", there is a discussion of the causal eect of schooling on earnings.

The textbook claims that including a white-collar occupational dummy,

wi , into the regression of earnings yi on schooling si is an example of using

a "bad control" variable.

(a) Suppose that the schooling was randomly assigned to people, and let

E (yi jsi ) = 1 + 2 si : Further, assume that the causal eect of the

change of si from s to s + 1 is the same for everybody, and equals .

Show that 2 = :

Solution: We have

E (yi jsi = s + 1) =

(s + 1) ;

and

E (yi jsi = s) =

2s

Therefore,

= E (yi jsi = s + 1)

E (yi jsi = s)

= E (ys+1;i jsi = s + 1)

= E (ys+1;i jsi = s + 1)

=

E (ys;i jsi = s + 1)

E (ys;i jsi = s)

E (ys;i jsi = s + 1)

E (ys;i jsi = s)

+ [E (ys;i jsi = s + 1)

Since schooling is randomly assigned (by assumption), it is independent of the potential outcomes. Therefore,

E (ys;i jsi = s + 1)

E (ys;i jsi = s) = 0

and

2

= :

(b) In addition to the assumptions made in (a), assume that E (yi jsi ; wi ) =

1 + 2 si + 3 wi : Show that

2

+ E (ysi jsi = s + 1; wi )

E (ysi jsi = s; wi ) :

Solution: We have

E (yi jsi = s + 1; wi ) =

(s + 1) +

3 wi

and

E (yi jsi = s; wi ) =

2s

3 wi :

2

= E (yi jsi = s + 1; wi )

E (yi jsi = s; wi )

= E (ys+1;i jsi = s + 1; wi )

E (ys;i jsi = s; wi )

+E (ys;i jsi = s + 1; wi )

E (ys;i jsi = s; wi )

= E (ys+1;i jsi = s + 1; wi )

=

+ E (ys;i jsi = s + 1; wi )

E (ys;i jsi = s + 1; wi )

E (ys;i jsi = s; wi ) :

(c) Since si is independent from ysi ; we have E (ysi jsi ) = E (ysi ) : Explain in words, how is this possible that, despite the latter equality, E (ysi jsi ; wi ) 6= E (ysi jwi ) in general, so that the selection bias

E (ysi jsi = s + 1; wi ) E (ysi jsi = s; wi ) is not equal zero.

Solution: Even though si is independent from ysi ; it is statistically dependent on wi (because the schooling aects the future choice of the

occupation). The occupational dummy, in its turn, may depend on

the potential outcomes. Hence, even though E (ysi jsi ) = E (ysi ) ; we

may have E (ysi jsi ; wi ) 6= E (ysi jwi ) :

10

(d) Based on your analysis in (c), explain which variables can be called

"bad controls" in an experimental setting.

Solution: Those variables that are aected by the treatment, and cannot

be thought as xed at the time of the treatment.

8. In the setting of problem (5), let gi be a variable that equals 1 if the ith randomly chosen person is a woman, and 1 if the person is a man.

Suppose that E (yi jsi ; gi ) = 1 + 2 si + 3 gi :

(a) Argue that, if si is randomly assigned, then E (ysi jsi = s + 1; gi )

E (ysi jsi = s; gi ) = 0; so that there is no selection bias, and 2 = .

and ysi : Therefore,

E (ysi jsi = s + 1; gi ) = E (ysi jgi ) ;

and similarly

E (ysi jsi = s; gi ) = E (ysi jgi ) :

Hence, there is no selection bias.

(b) Suppose

that you have a sample of (yi ; si ; gi ) of size n: Assume that

Pn

g

=

0 (the same number of men and women in the sample),

i=1

Pni

and i=1 gi si = 0 (average education level is the same for men and

women in the sample). Show that the OLS estimate of the coe cient

on si in the "short regression" of yi on constant and si is the same

as the OLS estimate of the coe cient on si in the "long regression"

of yi on constant, si ; and gi .

Solution: Consider a short regression yi =

^

OLS

Pn

si

P

P s2i

si

^OLS

1

1

2 si

+ ei :

P

P yi

si yi

1 + 2 si + 3 gi + ui :

We have

(X 0 X) X 0 Y

0

1 10 P

1

P

P

Pn

P s2i P gi

P yi

A @

A

= @ P si P si

Psi g2 i

P si yi

gi

si gi

gi

gi yi

0

1 10 P

1

P

n

s

0

y

i

i

P

P 2

P

si

si P0 A @ P si yi A

= @

2

0

0

gi

gi yi

!

^

:

=

P 2 OLS

1P

gi

gi yi

11

2

(c) Suppose that the adjusted R2 from the "long regression" is Rlong

=

0:2 and that from the short regression is Rshort = 0:1: Prove that,

under the assumptions made in (b), the homoskedastic standard error

estimate

pfor the OLS coe cient on si from the "long regression"

equals 8=9 times the homoskedastic standard error estimate for

the OLS coe cient on si from the "short regression". Hence, the

precision of the estimate in the "long regression" is higher than that

in the "short regression".

d ^ 2;OLS =

SE

equals

SSRshort

1

0

(Xshort

Xshort )22 ;

n kshort

0

where (Xshort

Xshort )22 is the element in the second row and second

1

0

column of the matrix (Xshort

Xshort ) : Similarly,

s

1

SSRlong

0

d ^2;OLS =

SE

Xlong

Xlong

:

n klong

22

1

0

0

(Xshort

Xshort )22 = Xlong

Xlong

Hence,

d ^2;OLS

SE

d ^ 2;OLS

SE

1

22

SSRlong n kshort

:

n klong SSRshort

R2 = 1

n

n

SSR

:

k T SS

Therefore,

SSRlong

T SSlong

=

1

n klong

n

and

SSRshort

T SSshort

=

1

n kshort

n

2

Rlong

=

T SSlong

0:8

n

2

Rshort

=

T SSlong

0:9:

n

On the other hand, T SSlong = T SSshort because the dependent variable in both regressions is the same. Hence,

s

r

SSRlong n kshort

8

=

:

n klong SSRshort

9

12

(d) In light of your answers to (a), (b), and (c), explain in words why gi

is a "good control".

Solution: Including gi into the regression does not introduce selection

bias because gi is xed at the time of the treatment assigniment. On

the other hand, including gi into regression, reduces uncertainty, and

leads to lower standard errors of the OLS estimates.

13

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