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Introductory Econometrics 4th Edition by Jeffrey Wooldridge
Edition 4ISBN: 978-0324660609Introductory Econometrics 4th Edition by Jeffrey Wooldridge
Edition 4ISBN: 978-0324660609 Exercise 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
satisfies the sequential exogeneity assumption in equationEquation
.(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
Explanation
Verified
Verified
Our difference equation is 
Now if we ap...
Introductory Econometrics 4th Edition by Jeffrey Wooldridge
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