MECE-102: ADVANCED ECONOMETRIC METHODS
Tutor Marked Assignment
Course Code: MECE-102
Asst. Code: MECE-102/AST/2024-25
Maximum Marks: 100
Note: Answer all the questions. While questions in Section A carry 20 marks each, those in Section B carry 12 marks each.
Section A
- a) What is simultaneity bias? Explain the conditions required for identification of parameters in a simultaneous equation model. b) In the following two-equation system check the identification status of both the equations. 𝑌1 =∝1+∝2 𝑌2 + 𝑢1, 𝑌2 = 𝛽1 + 𝛽2𝑌1 + 𝛽3𝑍1 + 𝛽4𝑍2 + 𝑢2
- Distinguish between weak stationarity and strong stationarity. Explain the methods of testing for stationarity in a univariate time series model.
Section B
- What is the underlying idea behind the probit model? Explain how parameters are estimated in the probit model.
- What is meant by dynamic model? Explain how the following model can be estimated? 𝑦𝑡 =∝ +𝛽𝑥𝑡 + 𝛾𝑦𝑡−1 + 𝑢𝑡 where |𝛾| < 1 and 𝑢𝑡 = 𝜌 𝑢𝑡−1+ 𝜀𝑡
- Explain the central idea behind the multinomial logit model. What the underlying assumptions in this model?
- What are the advantages of panel data models? Specify the fixed effects model and explain how it can be estimated.
- Write short notes on the following: a) ARCH model b) Granger-causality