Questions and Answers of Introductory Econometrics Modern

Suppose in a static or distributed lag time series regression, you are able to use n = 280 quarterly observations. What would be some reasonable values for the lag g in the Newey-West estimator?
Use the data in BARIUM to answer this question.(i) In Table 12.1 the reported standard errors for OLS are uniformly below those of the corresponding standard errors for GLS (Prais-Winsten). Explain
Use the data in APPROVAL to answer the following questions. (i) Estimate the equationusing first differencing and test the errors in the first-differenced (FD) equation for AR(1) serial
The data set HAPPINESS contains independently pooled cross sections for the even years from 1994 through 2006, obtained from the General Social Survey. The dependent variable for this problem is a
Use the data in COUNTYMURDERS for this exercise. The data set covers murders and executions (capital punishment) for 2,197 counties in the United States.(i) Find the average value of murdrate across
Using the “cluster” option in the econometrics package Stata® 11, the fully robust standard errors for the pooled OLS estimates in Table 14.2—that is, robust to serial correlation and
The data in CENSUS2000 is a random sample of individuals from the United States. Here we are interested in estimating a simple regression model relating the log of weekly income, lweekinc, to
Consider the unobserved effects panel data model for a random draw i, where at denotes different year intercepts:Assuming a balanced panel, write down, for a given i, the CRE equation that you would
The data set DRIVING includes state-level panel data (for the 48 continental U.S. states) from 1980 through 2004, for a total of 25 years. Various driving laws are indicated in the data set,
Use the data set in AIRFARE to answer this question. The estimates can be compared with those in Computer Exercise 10, in this Chapter.(i) Compute the time averages of the variable concen; call these
Use the data in COUNTYMURDERS to answer this question. The data set covers murders and executions (capital punishment) for 2,197 counties in the United States. See also Computer Exercise C16 in
Use the data in WAGEPAN.DTA to answer the following questions. (i) Using lwage as the dependent variable, estimate a model that only contains an intercept and the year dummies d81 through d87.
Use the data in SCHOOL93_98 to answer the following questions. Use the command xtset schid year to set the cross section and time dimensions.(i) How many schools are there. Does each school have a
Suppose that, in equation (15.8), you do not have a good instrumental variable candidate for skipped. But you have two other pieces of information on students: combined SAT score and cumulative GPA
The data set in VOUCHER, which is a subset of the data used in Rouse (1998), can be used to estimate the effect of school choice on academic achievement. Attendance at a choice school was paid for by
Use the data in CATHOLIC to answer this question. The model of interest iswhere cathhs is a binary indicator for whether a student attends a Catholic high school.(i) How many students are in the
Use the data in LABSUP to answer the following questions. These are data on almost 32,000 black or Hispanic women. Every woman in the sample is married. It is a subset of the data used in Angrist and

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