Question: (Score Test) Let the conditional log-likelihood of y given X be (19.11). Noting that (a) show that the OLS F test for 0 =

(Score Test) Let the conditional log-likelihood of y given X be (19.11). Noting that

Elyx80+(-1+x_B)

(a) show that the OLS F test for φ0 = 0 in the artificial specification

image text in transcribedis asymptotically equivalent to the Breusch-Pagan test and

(b) show that the fitted coefficient φ from this regression is a consistent estimator of φ0.

(c) What is the asymptotic distribution of the vector of fitted coefficients for β0?

Elyx80+(-1+x_B)

Step by Step Solution

There are 3 Steps involved in it

1 Expert Approved Answer
Step: 1 Unlock blur-text-image
Question Has Been Solved by an Expert!

Get step-by-step solutions from verified subject matter experts

Step: 2 Unlock
Step: 3 Unlock

Students Have Also Explored These Related Econometric Analysis Questions!

Q:

1. A player throws a fair die and simultaneously flips a fair coin. If the coin lands heads, then she wins twice, and if tails, then one-half of the value that appears on the die. Determine her...

Q:

1.The makers of an exercise device advertise that using their machine a few minutes per day results in an average weight loss of 4 kilograms during the first month. A consumer group believes the...

Q:

1 2.3 Definition of a Discrete Probability Function Definition: Let S be a discrete sample space from some experiment. A function P, defined on all events in S, is said to be a probability function...

Q:

Describe and justify an algorithm for finding the shortest distance between each pair of vertices in an undirected graph in which each edge has a given positive length. If there is no path between a...

Q:

Multiplicative Heteroskedasticity. This is based on Harvey (1976). Consider the linear model given in (9.1) and let u N(0, ) where = diag[2i ]. Assume that 2i = 2hi() with = (1, . . . , s) and...

Q:

Miller-Rabin test to check whether a number N is composite. This will involve computing a N1 mod N for some value of a. [10 marks] Carry out the steps for N = 65 and a = 1, 2, 8 and 12. on what each...

Q:

Suppose we would like to test Ho; 2 = 0 in the following unrestricted model given also in (7.8) y = X + u = X11 + X22 + u (a) Using the FWL Theorem, show that the URSS is identical to the residual...

Q:

Name : BIST 512 : Categorical Data Analysis Final Exam May 9th, 2pm to 4:30pm There are seven problems. Read all problems carefully before starting. Put your name on every sheet of paper before you...

Q:

INTEGER CODING RULES: Replace the "return" statement in each function with one or more lines of C code that implements the function. Your code must conform to the following style: int Funct(arg1,...

Q:

(a) Describe how to construct the function cpo ((D E), v) of two cpos (D, vD) and (E, vE). Prove that ((D E), v) is a cpo. (b) The function uncurry is inverse to the function curry; it takes a...

Q:

Sandras Purse Boutique has the following transactions related to its top-selling Gucci purse for the month of October 2015. Required: 1. Calculate ending inventory and cost of goods sold at October...

Q:

Show that set

Q:

a Copy and complete this table of values for the function y = 3x + 2 b Use the table to plot a graph of y = 3x + 2 x -2-1 0 1 2 J-4 3 11

Q:

Suppose a person's head diameter D and height H grow according to D(t) = 10.0e0.03t H(t) = 50.0e0.09t during the first 15 years of life. a. Find D and H at t =0, t =7.5, and t =15. b. Sketch graphs...