LOYOLA COLLEGE (AUTONOMOUS), CHENNAI – 600 034

M.A. DEGREE EXAMINATION – ECONOMICS

SECOND SEMESTER – APRIL 2012

EC 2811 – ECONOMETRICS

 

 

Date : 24-04-2012             Dept. No.                                        Max. : 100 Marks

Time : 9:00 – 12:00

 

Part – A

Answer any Five questions in about 75 words each:                                                              (5 x 4 = 20)

 

1. Define Econometrics.
2. What is the use of a non linear transformation in econometrics?
3. What is Dummy Variable Trap?
4. What is an instrumental variable?
5. Distinguish between extreme and less extreme multi-collinearity.
6. What is meant by simultaneous equation bias?
7. Distinguish between Structural form and reduced form of a model.

 

Part – B

Answer any Four questions:                                                                                                   (4 x 10 =40)

 

8. Explain the four non linear transformations commonly used in Econometrics.
9. Derive the two normal equations of a two variable linear model by OLS.
10. How do we deseasonalize a series by dummy variable technique?
11. Derive the GLS estimate.
12. Explain the consequences of heteroscedasticity.
13. Discuss the method of ILS.
14. How do we estimate a distributed lag model by using Koyck’s transformation?

 

Part – C

Answer any Two questions:                                                                                                   (2 x 20 = 40)

 

15. Show that OLS estimator is BLUE (use a two variable linear model)
16. Define autocorrelation. How do autocorrelated disturbances lead to violation of the assumption E (u u^’) = σ² Discuss the methods of detecting autocorrelation.
17. Discuss the identifiability state of the following model (by both structural and reduced form)

y₁ = 3y₂ – 2x₁ + x₂ + u₁

y₂ = y₃ + x₃ + u₂

y₃ = y₁ – y₂ – 2x₃ + u₃.

18. Derive the 2SLS estimator.

 

 

 

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