Exam Details
| Subject | Econometric Methods | |
| Paper | ||
| Exam / Course | M.Phill & Ph. D | |
| Department | School of Social Sciences (SOSS) | |
| Organization | indira gandhi national open university | |
| Position | ||
| Exam Date | June, 2016 | |
| City, State | new delhi, |
Question Paper
No. of Printed Pages: 3 IREC-0031
RESEARCH DEGREE PROGRAMME IN
ECONOMICS
Term-End Examination
June, 2016
REC-003 ECONOMETRIC METHODS
Time: 3 hOltrs Maximum Marks: 100
Note: Answer questions from each section as directed.
SECTION
Answer any two questions from this section. 20x2=40
1. Consider the following regression model.
Yi=«+BXi+ui
Specify the likelihood function, obtain maximum likelihood estimator for error variance r^2.
2. Consider the following simultaneous equation model.
Y1 «13Y3 B12X2 u1
Y2 «21Y1 «23Y3 B21X1 B22X2 u2
Y3 «32Y2 B33X3 u3
Check the identification status of each of the equations in the model on the basis of order and rank condition.
3. Describe the augmented Dickey-Fuller test procedure for testing for the presence of a unit root in the scalar time series process Yt.
4. What is meant by a dynamic model? Explain how the following model can be estimated.
Yt « Bxt yYt-l ut
where and ut=put-l nt
In the above model nt is said to be iid with mean 0 and variance a2 and 1.
SECTION
Answer any five questions from this section. 12x5=60
5. What are the uses of dummy variables? Explain how a regression model with intercept and slope dummies can be formulated.
6. Explain the concept of multicollinearity. What are its consequences on estimates? What remedial measures would you suggest for the multicollinearity problem?
7. Explain the underlying ideas in the probit model. Explain how it is formulated and estimated.
8. Consider the following equation system.
Y1 «12Y2 B11Xl B12X2 u1
Y2 «21Y1 B21Y1 B23X3 B24X4+ u2
Check the identification status of both the equations. Explain one of the procedures to estimate the first equation in the above model.
9. While estimating a regression model you found that the dependent variable is measured with certain error. Specify the model. What are its consequences on estimators
10. What is meant by autocorrelation? Explain one of the estimation methods in the presence of autocorrelation.
11. Formulate a panel data model with
fixed effect random effect
12. Write short notes on the following:
Concept of cointegration
Error correction model
RESEARCH DEGREE PROGRAMME IN
ECONOMICS
Term-End Examination
June, 2016
REC-003 ECONOMETRIC METHODS
Time: 3 hOltrs Maximum Marks: 100
Note: Answer questions from each section as directed.
SECTION
Answer any two questions from this section. 20x2=40
1. Consider the following regression model.
Yi=«+BXi+ui
Specify the likelihood function, obtain maximum likelihood estimator for error variance r^2.
2. Consider the following simultaneous equation model.
Y1 «13Y3 B12X2 u1
Y2 «21Y1 «23Y3 B21X1 B22X2 u2
Y3 «32Y2 B33X3 u3
Check the identification status of each of the equations in the model on the basis of order and rank condition.
3. Describe the augmented Dickey-Fuller test procedure for testing for the presence of a unit root in the scalar time series process Yt.
4. What is meant by a dynamic model? Explain how the following model can be estimated.
Yt « Bxt yYt-l ut
where and ut=put-l nt
In the above model nt is said to be iid with mean 0 and variance a2 and 1.
SECTION
Answer any five questions from this section. 12x5=60
5. What are the uses of dummy variables? Explain how a regression model with intercept and slope dummies can be formulated.
6. Explain the concept of multicollinearity. What are its consequences on estimates? What remedial measures would you suggest for the multicollinearity problem?
7. Explain the underlying ideas in the probit model. Explain how it is formulated and estimated.
8. Consider the following equation system.
Y1 «12Y2 B11Xl B12X2 u1
Y2 «21Y1 B21Y1 B23X3 B24X4+ u2
Check the identification status of both the equations. Explain one of the procedures to estimate the first equation in the above model.
9. While estimating a regression model you found that the dependent variable is measured with certain error. Specify the model. What are its consequences on estimators
10. What is meant by autocorrelation? Explain one of the estimation methods in the presence of autocorrelation.
11. Formulate a panel data model with
fixed effect random effect
12. Write short notes on the following:
Concept of cointegration
Error correction model
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