Consider data generated from the following model: y = xB + u, x = zJ + v where z ~ N(0,1), u ~ (0,1), v~ N(0,1), E(uv) = 0.9 and B = 1. Consider 100 observations. Consider J = 2, J = 1, J = 0.25 and J = 0. Use 1000 simulation replications and estimate B using IV a. What does the distribution of first stage t-statistics in each case look like? what is the simulation rejection frequency of Ho : J = 0 using 5% level of test in each case ? b.What does the distribution of the IV estimator of B look like in each case ? Does it appear that the asymptotic normal approximation provides a good approximation to the finite sample distribution? What is the simulation size for a 5% level test of Ho: B = 1 using usual asymptotic approximation in each case ? What is the similation mean of B within this set of replications ?
Consider data generated from the following model: y = xB + u, x = zJ + v where z ~ N(0,1), u ~ (0,1), v~ N(0,1), E(uv) = 0.9 and B = 1. Consider 100 observations. Consider J = 2, J = 1, J = 0.25 and J = 0. Use 1000 simulation replications and estimate B using IV a. What does the distribution of first stage t-statistics in each case look like? what is the simulation rejection frequency of Ho : J = 0 using 5% level of test in each case ? b.What does the distribution of the IV estimator of B look like in each case ? Does it appear that the asymptotic normal approximation provides a good approximation to the finite sample distribution? What is the simulation size for a 5% level test of Ho: B = 1 using usual asymptotic approximation in each case ? What is the similation mean of B within this set of replications ?
MATLAB: An Introduction with Applications
6th Edition
ISBN:9781119256830
Author:Amos Gilat
Publisher:Amos Gilat
Chapter1: Starting With Matlab
Section: Chapter Questions
Problem 1P
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Consider data generated from the following model: y = xB + u, x = zJ + v where z ~ N(0,1), u ~ (0,1), v~ N(0,1), E(uv) = 0.9 and B = 1. Consider 100 observations. Consider J = 2, J = 1, J = 0.25 and J = 0. Use 1000 simulation replications and estimate B using IV
a. What does the distribution of first stage t-statistics in each case look like? what is the simulation rejection frequency of Ho : J = 0 using 5% level of test in each case ?
b.What does the distribution of the IV estimator of B look like in each case ? Does it appear that the asymptotic normal approximation provides a good approximation to the finite sample distribution? What is the simulation size for a 5% level test of Ho: B = 1 using usual asymptotic approximation in each case ? What is the similation mean of B within this set of replications ?
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