Problem Set #1
Due noon, Friday, February 5
1. Work the following exercises from Stock and Watson's Chapter 4:
2. (Variant of 4.11a) Suppose that we know with certainty that the intercept of the true regression equation is equal to zero.
- Use the method of least squares to find an estimator of the slope coefficient.
- Assuming that the error term is IID and conditionally normally distributed, does the method of maximum likelihood lead to the same estimator?
- Can the same estimator be derived by the method of moments?