Problem 3. Consider the simple regression model: Y; = Bo + B1X; + U; where X; is an endogenous regressor and Z; is a valid instrumental variable for X;. Let B1 be the OLS estimator and B2 be the IV estimator. Consider the R and R of the two estimations, which one is larger (i.e., which estimator fits in-sample Y; better)? Recall that R² is defined as: Σ E,(Y; – Ý)² EL(Y: – Ý;)? E(Yi – Ý)² E(Yi – X;ß)² E, (Y; – Ý )² - R? = 1 – = 1 %3D | i=1
Problem 3. Consider the simple regression model: Y; = Bo + B1X; + U; where X; is an endogenous regressor and Z; is a valid instrumental variable for X;. Let B1 be the OLS estimator and B2 be the IV estimator. Consider the R and R of the two estimations, which one is larger (i.e., which estimator fits in-sample Y; better)? Recall that R² is defined as: Σ E,(Y; – Ý)² EL(Y: – Ý;)? E(Yi – Ý)² E(Yi – X;ß)² E, (Y; – Ý )² - R? = 1 – = 1 %3D | i=1
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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