MEcon Master of Economics Econometrics and Research Methods

Question 1

In ordinary least squares (OLS) regression, the estimator minimizes the sum of:

Accepted Answer

Squared residuals

Answer

Absolute residuals

Answer

Residuals divided by fitted values

Answer

Cubed residuals

Question 2

The Gauss-Markov theorem states that, under its classical assumptions, the OLS estimator is:

Accepted Answer

BLUE — Best Linear Unbiased Estimator

Answer

Consistent but not unbiased

Answer

The maximum likelihood estimator always

Answer

Efficient only with large samples

Question 3

Omitted variable bias occurs when a relevant variable is excluded from a regression and that variable is:

Accepted Answer

Correlated with the error term and correlated with included regressors

Answer

Correlated with the error term and uncorrelated with the included regressors

Answer

Uncorrelated with the error term regardless

Answer

A dummy variable

Question 4

Heteroskedasticity in regression means that the variance of the error term:

Accepted Answer

Varies across observations

Answer

Is constant across all observations

Answer

Is correlated with lagged residuals

Answer

Is exactly zero

Question 5

Instrumental variable (IV) estimation is used to address:

Accepted Answer

Endogeneity caused by reverse causality or omitted variables

Answer

Multicollinearity between regressors

Answer

Heteroskedasticity in error terms

Answer

Serial correlation in time-series data

Question 6

In a difference-in-differences (DiD) estimator, the key identifying assumption is:

Accepted Answer

Parallel pre-treatment trends between treatment and control groups

Answer

No selection into treatment

Answer

Random assignment to treatment

Answer

No heteroskedasticity in the error term