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LOYOLA COLLEGE (AUTONOMOUS), CHENNAI 600 034
M.A.DEGREE EXAMINATION ECONOMICS
THIRDSEMESTER APRIL 2018
16PEC3MC03- ADVANCED ECONOMETRICS
Date: 03-05-2018 Dept. No. Max. 100 Marks
Time: 09:00-12:00
PART A
Answer any FIVEof the following questions:- 5x4=20 marks]
1. Define the concept of structural break using suitable diagram.
2. State the normality assumptions of the disturbance term Ui.
3. What is the employability of a Correlogram?
4. Write a note on Recursive Least Squares.
5. Differentiate Dicky Fuller and Augmented Dicky Fuller tests.
6. Point out the difference between'ARCH' and models.
7. State the properties of Integrated Time series.
PART B
Answer any FOUR of the following questions:- [4X10=40 marks]
8. Given the model, ,How can you test the equality between the two regression coefficients
9. From the data for 54 standard metropolitan statistical areas the SIT estimated the following Logit model to explain high murder rate versus low murder rate:
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SE (0.0009) (0.0227) (0.1568)
Where, O the odds of a high murder rate, P 2000 population size in thousands, C population rate from 1990 to 2000, R reading quotient and SE are the asymptotic standard errors.
a. How would you interpret the various coefficients?
b. Which of the coefficients are individually statistically significant?
c. What is the effect of a unit increase in the reading quotient on the odds of having a higher murder rate?
10. Write short notes on the following:
Auto Regressive Process.
Moving Average Process.
Auto Regressive Moving Average Process.
Auto Regressive Integrated Moving Average Process.
11. From the annual data for the years 1988 2007, the following regression results were obtained:
859.92+0.6470 ………………………..
R2 0.9776.
261.09+0.2452 …………………………..(2)
R2 0.9388.
Where, Y U.S expenditure on imported goods, billions of 2002 dollars, X2 personal disposable income, billions of 2002 dollars, X3 trend variable.
True or False The standard error of X3 in eqn is 4.2750. Show your calculations.
[Hint: Use the relationship between R2, F and
12. Examine the employability of Tobitmodel in estimating censored samples.
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13. Explain the individual and G-Logit models applied in qualitative response regressions.
14. Outline the Random Effects model.
PART C
Answer anyTWOof the following questions:- 2X20=40 marks]
15. Given the Cobb Douglar predicition function which follows constant returns to scale How can we test whether the model satisfy some restrictions? Support your answer using suitable test procedure.
16. Using a sample of 64 countries the model for estimation is as follows

Where CM (Child Mortality rate is a function of Per- capita GNP and Female Literacy rate).
The regression results are as follows:
263.6416−0.0056 (11.5932)(0.0019) (0.2099)
R2 0.7077
The result of extended regression model is:
12.8686 …… (32.8916)(0.0018)(0.2480)
R2 0.7474
where, TFR is Total Fertility Rate.
a. How would you interpret the co-efficient of TFR? A priori, would you expect a positive or negative relationship between CM and TFR? Justify your answer.
b. Have the coefficient values of PGNP and FLR changed between the two models and why? Which test do you use for tesing the significance and why?
c. Using appropriate statistical test, find the appropriate model of choice and why? Show the calculations.
d. Find the Standard Error of the coefficient of TFR.[ Recall the relatioship between and distributions].
17. Elucidate the Chow test for testing structural break or parameter stability.
18. Discuss the possibilities of Panel data models using Least Square Dummy Variable approach.