Cross Sectional Linear Regression Exam Questions Answered Correctly (Graded A+)
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Cross Sectional Linear Regression
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Cross Sectional Linear Regression
Cross Sectional Linear Regression Exam Questions Answered Correctly (Graded A+)
5 Classical Linear Assumptions - Answers Linearity, Random Sampling, no perfect collinearity, zero conditional mean, homoskedasticity
6th Linear Assumption - Answers errors are normally distributed
What proves 6th li...
Cross Sectional Linear Regression Exam Questions Answered Correctly (Graded A+)
5 Classical Linear Assumptions - Answers Linearity, Random Sampling, no perfect collinearity, zero
conditional mean, homoskedasticity
6th Linear Assumption - Answers errors are normally distributed
What proves 6th linear assumption - Answers central limit theorem - for large n. Although this is weak as
the error distribution depends on the number of factors in u and their individual distribution. Also
Assumes all u affect y in a different way
What is R squared - Answers R squared is the amount of variance explained by the model
Unbiased estimator of variance - Answers SSR / n-2
test statistic formula - Answers (Estimated - Parameter) / (Standard deviation of estimated)
Degrees of Freedom for a t stat - Answers n-k-1
What is p-value show - Answers prob of observing a t stat as extreme as the Ho if the Ho were true
what is interpretation of a quadratic term - Answers differentiate wrt to it
change in y wrt to the change in x
How do we obtain OLSE - Answers minimise RSS
what if want to examine combined effect of two parameters - Answers ceteris paribus all else and add
the coefficients together
Relationship between fitted values and residuals - Answers sample cov = 0
What is the Frisch-Waugh Theorem? - Answers the coefficient measures the sample relationship
between y and the parameter after the other parameters have been partialled out
, What if the regression runs through the origin - Answers the R squared could be negative
= the sample average explains more of variation in y than the explanatory variables
What happens when we include irrelevant variables - Answers doest affect bias as their expectation is 0
How do we calculate bias size E(estimateB)-B1 - Answers B2*d1 where d1 is the slope from the simple
regression
if B2 is > 0 and correlation is >0 what direction is the bias - Answers positive
where the Rsquared is from a regression of x1 on x2
what happens when the Rsquared between two parameters = 1 - Answers Multicollinearity
Estimate for variance = - Answers SSR / n-k-1
what are the BLUE - Answers best linear unbiased estimators
they have the smallest variance
what do CLM assumptions 1-4 imply - Answers consistency
what does CLM assumption 5 imply - Answers efficiency
How to test H0: B1 = B2 - Answers do H0: B1-B2 = 0
set theta = B1-B2
sub into regression rearrange and test H0: theta = 0
under ~ t n-k-1
What are the degrees of freedom in a F statistic - Answers q ; n-k-1
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