Introductory Econometrics 4th Edition by Jeffrey Wooldridge

تمرين 4

Suppose that the equation satisfies the sequential exogeneity assumption in equation
Equation .
(i) Suppose you difference the equation to obtain How come applying OLS on the differenced equation does not generally result in consistent estimators of the j
(ii) What assumption on the explanatory variables in the original equation would ensure that OLS on the differences consistently estimates the j
(iii) Let z t1 , …, z tk be a set of explanatory variables dated contemporaneously with y t. If we specify the static regression model yt= 0 + 1zt1 + … + kztk+ut,describe what we need to assume for x t = z t to be sequentially exogenous. Do you think the assumptions are likely to hold in economic applications