ST 2013

Economics and Finance, M. Sc. (1st term) M-EF_6 Econometrics (new curriculum: EXAM, 120 minutes) Prof. Dr. Mller Permitted aids: EN/EN dictionary, non-programmable calculator, distribution tables

Question 1: Multiple univariate regression (a) Explain the basic idea of an F-test. Focus on the number of restrictions, the two regression approaches, the test statistic, and the determination of the critical value. (b) A researcher has collected annual data from 12 companies over eight years and now estimates a regression function = + + + + + + to explain the impact of market risk (x2), real GDP (x3), inflation rates (x4), real interest rates (x5) and the firms default risks (x6) on the individual risk premiums (y). His combined null hypothesis is H0: 2=6=1, 3=-0.5, and 5=0.2. RRSS turns out to be 2,250, and URSS equals 2,025. The level of significance is =0.05. Compute T, k and m, and the test statistic = . What is the critical value? Perform the F-test. Will H0 be rejected or not?

Points: 26

Question 2: Model assumptions and diagnostics (a) Explain the meaning of homo- and heteroscedasticity (also with a plot). What is the basic idea of the relevant tests for homoscedasticity (select one of the two options)? What are the consequences of a regression analysis ignoring heteroscedasticity? (b) Describe the meaning of autocorrelation. Illustrate positive autocorrelation in two simple figures (error terms vs. lagged error terms; error terms over time). Give an example from business, micro- or macroeconomics or finance.

Points: 18.5

Question 3: Univariate time series modelling (a) What is the difference between time series models and the univariate structural models? When would we prefer time series to structural models? (b) What variables explain the dependent variable y in an

Points: 18.5

Page 1 of 4 page(s)

autoregressive (AR) and in a moving average (MA) model? (c) Give an example for an AR model from economics or finance. (d) What is the difference between (total) autocorrelation (acf) and partial autocorrelation (pacf) in time series models (it is not necessary to specify the shape of acf/pacf for AR and MA)?

Question 4: Multivariate models (a) What is the basic difference between univariate and multivariate models, as well as between structural and reduced form equations (for multivariate models)? (b) What is the meaning of identification (under-, just, over-)? (c) Describe the procedure of applying the order condition.

Points: 18.5

Question 5: Panel data analysis (a) Explain the basic idea of a panel data analysis (compared to a pure cross-sectional and time series analysis). (b) Describe the object-fixed model of a panel data analysis (without detailing on possible tests and transformation methods). Therefore, comment on the number of different slope and intercept estimates, the decomposition of the error term, the regression equation, and the use of dummy variables.

Points: 18.5

Total: 100

Seite 2 von 4 Seite(n)

ST 2013

Economics and Finance, M. Sc. (other terms) M-EF_6.1 Econometrics (old curriculum: CERTIFICATE/TESTAT, 60 minutes) Prof. Dr. Mller Permitted aids: EN/EN dictionary, non-programmable calculator, distribution tables

Question 1: Multiple univariate regression (a) Explain the basic idea of an F-test. Focus on the number of restrictions, the two regression approaches, the test statistic, and the determination of the critical value.

Weight: 25 %

Question 2: Model assumptions and diagnostics (a) Explain the meaning of homo- and heteroscedasticity (also with a plot). What are the consequences of a regression analysis ignoring heteroscedasticity? (b) Describe the meaning of autocorrelation. Illustrate positive autocorrelation in two simple figures (error terms vs. lagged error terms; error terms over time). Give an example from micro- or macroeconomics or finance.

Weight: 25 %

Question 3: Univariate time series modelling (a) What is the difference between time series models and the univariate structural models? When would we prefer time series to structural models? (b) What variables explain the dependent variable y in an autoregressive (AR) and in a moving average (MA) model? (c) Give an example for an AR model from economics or finance. (d) What is the difference between (total) autocorrelation (acf) and partial autocorrelation (pacf) in time series models (it is not necessary to specify the shape of acf/pacf for AR and MA)?

Weight: 25 %

Question 4: Multivariate models (a) What is the basic difference between univariate and multivariate models, as well as between structural and reduced form equations (for multivariate models)? (b) What is the meaning of identification (under-, just, over-)? (c) Describe the procedure of applying the order condition.

Weight: 25 %

Seite 3 von 4 Seite(n)

Seite 4 von 4 Seite(n)