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EC9100
THE UNIVERSITY OF WARWICK
May Examinations 2008/2009
Econometrics B

Time Allowed: 3 Hours
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1
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Explain
what can be said about the relative magnitudes of the three test statistics when testing
linear restrictions in a linear model
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2
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Discuss, with economic
illustrations, the concept of cointegration and explain how it can help to address the
“spurious regression” problem
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3
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State clearly any assumptions that the model makes
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Explain how you could extend the model to the case where the
commuters face more than two alternatives and discuss any difficulties with the model
you describe
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Describe how you would specify a Tobit model for expenditure on a consumer good
which some consumers do not purchase and how to estimate the parameters of the
model by Maximum Likelihood
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Discuss the issue of identification in this latter model
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Describe carrying out cointegration analysis within a VAR framework by formulating
an error correction model
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Describe what are meant by overidentifying restrictions
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Explain the sense in which ordinary least squares (OLS) and instrumental variables
(IV) are method of moment estimators
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7
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Assuming fixed and known parameters, describe how you would estimate by
simulation  =Pr(Sn+h >C) where St is the stock price on which the returns are based,
C is a specified threshold and we have observed the returns only up to time n, i
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S1,S2 ,…
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What are the properties that we would expect to observe in a sequence of „good‟
interval forecasts? Describe in detail how we can test whether a particular sequence
of interval forecasts possess those properties, when we have available the sequence of
outcomes
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2

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