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Ejercicios Econometria
Ejercicios Econometria
1.
y i= {3,5 }
x i={ 1,3 }
y i=β 0 + β 1 x i +ui
Ω= 2 0( )
0 1
^ −1
BMCG =( X ' Ω−1 X ) X ' Ω−1 Y
β^0 −1 −1 −1
= 1 1 2 0
)( ) ( )) ( )( ) (35)
1 1 1 1 2 0
( ) ((
^
β1 1 3 0 1 1 3 1 3 0 1
β^0 1 1 1 1 0 1 1 −1
( )((
^
β1
= )( )( )) 0.5(11 13)(10 02)(35)
2 1 3 0 2 1 3
β^0 1 1 2 1 1 −1
( )((
β^1
=
2 1 6 1 3 )( )) 0.5( 11 26 )(35 )
β^0 1 3 7 −1 −1
6.5 = 1 9.5
0.5 13 = 1.5 3.5 −3.5 6.5
( )((
β^1
=
2 7 19 )) ( ) ( 33 3.5 9.5 ) (16.5 ) 2 (−3.5 )( )
1.5 16.5
1 4
¿ =2
() ()
2 2 1
2.
mp mp mp
Var ( u p ) =Var (∑ )
i=1
uip =∑ Var (uip )=∑ σ u2=m p σ 2u
i=1 i=1
m1 ⋯ 0
[
Ω= ⋮ ⋱ ⋮
0 ⋯ mp ]
Ejercicios 08
^
B1=B1 + A B 2
( ) ( ) ( )( )
^
β^2 β 2 a21 a22 4
β
β 1 = β 1 + a11 a12 3
β
Ejercicios 09
2.
y i=β 1 xi +ui β 0
−1
^ )=( X ' X ) X ' X 1 B 1
E( B
−1
1 x1 x1
E
β^0
β^1(( )) ((
=
1 … 1
x 1 … xn ⋮ ⋮
1 xn
)( )( 1 … 1
x1 … x n )( )
⋮ ( β1)
xn
−1
β^ n ∑ xi ∑ xi
E 0 =
β^1 (( )) (∑ ) ( ) xi ∑ xi
2
∑ xi
2 ( β 1)
2
β^0 ∑ ∑ xi
E
β^1(( )) ( ∑ )(∑ )
=
1 xi − x i
Δ − xi
∑
n xi
2 ( β1 )
2 2
Δ=n ∑ x i −( ∑ xi )
2 2
β^ ∑ x i ∑ x i−∑ x i ∑ xi ( β ) = 0 β =
(( )) (
E 0 =
^
β1
1
Δ −∑ x i ∑ x i +n ∑ x i
2 1 (1 ) 1 ) ( β0 )
1
2 2
^ )=σ ( X X ) = σ u ∑ xi −∑ x i
Var ( B 2
u
'
Δ −∑ x i
−1
σ 2u n
Var ( ^
β 1 )= 2 2
n ∑ x i −( ∑ x i )
^ σ 2u
Var ( β 1 )= 2
∑ xi
¿Cómo se compraran? Supuesto la independiente tiene media cero ∑ x i=0
σ 2u σ 2u
Var ( ^
β 1 )= 2
= 2
∑ xi ∑ xi
Ejercicio 10
−1
x1 k x 2i
(
E ( β^1 ) =β1 + ( x 1 … xn ) ⋮
xn ( )) ( x1
()
… x n ) ⋮ =β 1+
k
∑
k ∑ xi