中级计量金融06.docx

中级计量金融06.docx

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中级计量金融06

武汉理工大学考试试题A卷

课程名称－中级计量经济学－专业班级—金融SY0601

题号

一

二

三

四

五

六

七

八

总分

题分

一、MultipleChoice:

（2

20=40marks）

Readeachquestioncarefullyandselectthebestresponse.

1）Arandomsampleof5mosquitosissampled.ThenumberofmosquitoscarryingtheWestNileVirusinthesampleisanexampleofwhichrandomvariable?

a.normalb.student’stc.binomiald.uniforme.noneoftheabove

2）AresearcherisstudyingstudentsincollegeinCalifornia.Shetakesasampleof400studentsfrom10colleges.TheaverageageofallcollegestudentsinCaliforniais

A）astatistic.B）aparameter.C）themedian.D）apopulation.E）noneoftheabove

3）Youareconductingaone-sidedtestofthenullhypothesisthatthepopulationmeanis532versusthealternativethatthepopulationmeanislessthan532.Ifthesamplemeanis529andthep-valueis0.01,whichofthefollowingstatementsistrue?

a.Thereisa0.01probabilitythatthepopulationmeanissmallerthan529.

b.Theprobabilityofobservingasamplemeansmallerthan529whenthepopulationmeanis532is0.01.

c.Thereisa0.01probabilitythatthepopulationmeanissmallerthan532.

d.Ifthesignificancelevelis0.05,youwillacceptthenullhypothesis.

e.noneoftheabove

5）Inthesimplelinearregressionmodel:

log（Y）=β+βX+ε,theslopeparameterβ

A）indicatesbyhowmanypercentagesYincreases,givenonepercentincreaseinX.

B）indicatesbyhowmanyunitsYincreases,givenoneunitincreaseinX.

C）indicatesbyhowmanypercentagesYincreases,givenoneunitincreaseinX.

D）representstheelasticityofYwithrespecttoX.

6）Whenalinearregressionmodelincludesaconstantterm,whichofthefollowingstatementsiscorrect?

A）ESS=RSS+TSSB）TSS=ESS+RSSC）ESS>TSSD）R=1-（ESS/TSS）

7）TheOLSestimatorisderivedby

A）makingsurethatthestandarderroroftheregressionequalsthestandarderroroftheslopeestimator.

B）minimizingthesumofabsoluteresiduals.

C）minimizingthesumofsquaredresiduals.

D）connectingtheYicorrespondingtothelowestXiobservationwithYithecorrespondingtothehighestXiobservation.

8）InthecaseofthesimpleregressionmodelYi=β0+β1Xi+εi,whenXiandεiarecorrelated,

A）Xiisendogenous.B）theOLSestimatorisunbiased.

C）theOLSestimatorisconsistent.D）theOLSestimatorisBLUE.

9）ArecentstudyindicatesthatannualcostofmaintainingandrepairingacarinNewYorkAverage200withavarianceof260.Ifataxof20%isintroducedinallitemassociatedwiththemaintenanceandrepairofcars（ieeverythingismade20%moreexpensive）,whatwillbethevarianceoftheannualcostofmaintainingandrepairingacar?

A.260B.270C.312D.374

10）Theprobabilitythatarandomlychosenmalehasacirculationproblemis0.25.Maleswhohaveacirculationproblemaretwiceaslikelytobesmokersasthosewhodonothavecirculationproblem.Whatistheconditionalprobabilitythatmalehasacirculationproblem,giventhatheissmoker?

A.

B.

C.

D.

11）.Autoclaimamountsinthousands$aremodeledbyarandomvariablewithdensityfunction

forx≥0.TheInsurancecompanyexpectstopay100claims,ifthereisnodeductible.Howmanyclaimsdoesthecompanydecidestointroduceadeductibleof$onethousand?

A.26B.37C.50D.63E.74

12）Whichofthefollowingisleastlikelytocausetheunexpectedsignofaslopecoefficientestimate?

A）Omissionofarelevantvariable.B）Inclusionofanirrelevantvariable.

C）Incorrectfunctionalform.D）Severemulticollinearity.

13）ThenullhypothesisfortheRESETtestis:

（a）themodeliscorrectlyspecified.

（b）thestochasticerrortermisseriallycorrelated.

（c）thestochasticerrortermisheteroskedastic.

（d）thestochasticerrortermiscorrelatedwiththeexplanatoryvariables.

14）.TheRESETtestiscarriedoutwith:

（a）theDurbin-Watsontest.（b）theParkTest.

（c）thet-test.（d）theF-test.

15.

（a）thedegreesoffreedomequal23.

（b）thedegreesoffreedomequal22.

（c）thedegreesoffreedomequal21.

（d）thedegreesoffreedomequal20.

（e）thedegreesoffreedomequal19.

16

UsingthegiveninformationinProblem#15,thenullhypothesisis

（a）notrejectedatthe10%significancelevel.

（b）notrejectedatthe20%significancelevel.

（c）rejectedatthe5%significancelevel.

（d）rejectedatthe2%significancelevel.

（e）Both（c）and（d）arecorrectstatements.

Table2

17.

EstimationofthetwomodelsinTable2andcomparisonoftheRSSfromeachthroughtheF-testcanbeusedtotestthenullhypothesisthat:

（a）β1=β2

（b）β1=2

（c）β1=-1

（d）β1=1

（e）Noneoftheaboveisacorrectanswer.

18Consideralinearregressionmodelwith6independentvariablesestimatedwithasampleof86observations.Assumingaconstanttermisincludedinthemodel,thedenominatordegreesoffreedomfortheF-testof“overallsignificance”is:

（a）78（b）79（c）80（d）6（e）7

19

20

二（10marks）

（a）Isthisestimatorunbiased?

（4marks）

（b）Findthevarianceofthisestimator.（4marks）

（c）Whichoftheobservationswouldyouchoosetocalculatetheestimate?

Justifyyouranswer.（2marks）

三.（15marks,ABCDEeach3marks）

Supposeyouhaveestimatedthefollowinglinearprobabilitymodelexplaining401（k）

eligibilityintermsofofincome,age,andgender:

B）Holdingotherfactorsfixed,foranindividualwithfamilyincomeof$200000,ifannualincomeincreasesby$1000,whathappenstotheprobabilityof401（k）eligibility?

C）Istherestatisticallysignificantevidenceofgenderdiscrimination?

（showteststatistic,criticalvalue,rejectionrule,etc.）

D）Now,wespecifythefollowingversionoftheabovemodel:

E）Usingtheestimationresultsfromtheoriginalmodel,

predictthe401（k）eligibilityofapersonwiththefollowingcharacteristics:

inc=100;age=30,andfemale.Doesthepredictedprobabilitymakesense?

四（10marks，a,beach5marks）

五（15marks,abceach5marks）

Considerthefollowingsimultaneousequationsmodel

六（10marks，a,beach5marks）

Instudyingthemovementintheproductionworkersshareinthevalue

added,thefollowingmodelswereconsidered:

中级计量经济学－金融SY0601A卷标准答案

一Readeachquestioncarefullyandselectthebestresponse.Circletheappropriateletteroftheresponseandfillinthecorrespondingcircleonyouranswersheet.（1×25＝25points）

ACDDB6-10DCE11-1516-20

二（10marks）

三

B）

C）

D）

E）