所屬科目:研究所、轉學考(插大)◆統計學
1. Jack use OLS method to estimate the parameters of linear model with intercept: $y_t = \alpha + \beta x_t + \varepsilon_t.$ If the heteroskedasticity ($Var(\varepsilon_t | x_t) = \sigma^2_x x_t$) exits in the errors but other Gauss-Markov conditions satisfy, which statement is true? (1) (A). The estimated parameter, \( \hat{\beta} \), is biased, and variance of \( \hat{\beta}_1 \) obtained by OLS method is incorrect. (B). The estimated parameter, \( \hat{\beta} \), is biased, and variance of \( \hat{\beta}_1 \) obtained by OLS method is accurate. (C). The estimated parameter, \( \hat{\beta} \), is unbiased, and variance of \( \hat{\beta}_1 \) obtained by White heteroskedasticity-robust method is accurate. (D). The estimated parameter, \( \hat{\beta}_1 \), is unbiased and efficiency. (E). Jack cannot use OLS to estimate parameters because of inefficiency.
2. Consider the simple linear regression model: $y_t = \beta y_{t-1} + \varepsilon_t,$with the error structure as below: $\varepsilon_t = \rho \varepsilon_{t-1} + u_t,$ where $u_t \sim i.i.d(0, \sigma^2)$. What is the probability limit ($\rho$ lim) of OLS estimator $\hat{\beta}$? (2) (A). \( \frac{\beta}{1 + \beta\rho} \) (B). \( \beta \) (C). \( \frac{\beta + \rho}{1 + \beta\rho} \) (D). \( \frac{\rho}{1 + \beta\rho} \) (E). \( \frac{1}{1 + \beta\rho} \)
3. Consider the model: $y_t = \alpha + \rho x_t + \varepsilon_t,$ where $t = 1, \dots, T$. If we want to obtain consistent estimator $\hat{\rho}$ for the large sample, which necessary condition it must be have? (3) (A). \( \operatorname{cov}(\varepsilon_t x_t) = 0 \) (B). \( Var(\varepsilon_t \mid 1, x_t) = \sigma^2 \) (C). \( E(\varepsilon_t \mid 1, x_t) = 0 \) (D). \( E(\varepsilon_t \mid x_t) = 0 \) (E). \( E(\varepsilon_t\varepsilon_s|x_t,x_s) = 0 \)
4. An economist uses data to estimate the linear model with intercept $y_t = \alpha + \beta_1 x_{1t} + \varepsilon_t,$ but the true population model is as below: $y_t = \alpha + \beta_1 x_{1t} + \beta_2 x_{2t} + u_t.$ Under which condition satisfied, the OLS estimator $\hat{\beta}_1$ is still consistent? (4) (A). \( E(x_{2t}u_t) = 0 \) (B). \( \alpha = 0 \) (C). \( E(x_{2t}\varepsilon_t) = 0 \) (D). \( E(x_{2t}|x_{1t}) = 0 \) (E). \( E(x_{1t}u_t) = 0 \)
5. Suppose that there is an exact relationship between two scalar random variable y and x: $y = \beta x + v$However, $y$ is not known and unobserved. A variable $x^*$ is observed, such that $x^* = x + u$ Under which condition satisfied, the OLS estimator $\hat{\beta}_1$ is still consistent? (5) (A). \( E(y\alpha^{*}) = 0 \) (B). \( E(x^{*}u) = 0 \) (C). \( E(xu) = 0 \) (D). \( E(xv) = 0 \) (E). \( E(uv) = 0 \)
1-1 (5 分) Define $\tilde{\beta} = \frac{y_B - y_S}{x_B - x_S}$Whether $\tilde{\beta}$ is an unbiased estimator? (6)
1-2 (10 分) Please calculate $\text{var}(\tilde{\beta})$. Whether $\tilde{\beta}$ is efficiency? (7)
2.1 (10 分) What is the true value of $R^2$ in Equation (1)? What is the value of $s^2$ (estimated error variance.)? (8)
2.2 (5 分) What is the Durbin-Watson statistic in Equation (1)? (9)
1. (8分)假設隨機抽樣所來自的母體可以區分成兩類人群,A群與B群。A群人所構成的子母體佔總母體比例為 \( 60\% \) 且其子母體的變異數 \( \sigma_{A} \) 為7;B群人所構成的子母體佔總母體比例為 \( 40\% \) 且其子母體的變異數 \( \sigma_{B} \) 為5。考慮隨機從總母體抽出N個人(不分A、B群),並計算其樣本平均數 \( \overline{Y} \) 。若A、B兩群子母體有相同的母體平均,即 \( \mu_{A} = \mu_{B} = \mu \) ,則 \( \sqrt{N} (\overline{Y} -\mu) \) 的漸近分配為何。(10)
2. 阿正手上展示一個有正反兩面不同花樣的鋼板(正面以H表示,反面以T表示),令p代表隨機投擲一次會出現正面的機率。小飛與小貝欲估計p的值,並要求阿正給點提示。阿正於是擲投此鋼板三次得到三個正面,以HHH表示。2.1 小飛是個頻率學派統計學家(frequentist statistician),且打算使用最大概似估計法(Maximum Likelihood Estimation)來估計 p。 (7 分)請寫下小飛的樣本概似函數,並求解其最大概似估計值(簡稱 MLE 值)。 (11) (過程要清楚寫下一階條件,如有角解也需清楚呈現)
(8分)在看到阿正的樣本後,小貝對 \( p \) 認知的事後機率分配為何? (12)
(7分)若小貝打算用E(p|HHH)來推估p,則她的估計值為多少? (13)
(6分)比較小飛與小貝的估計,誰的值比較合理?理由為何? (14) (此題得分以你的統計邏輯依狀況給分,沒有一定對錯,請盡量陳述發揮。)
(7 分)請問一個月(以 30 天計)故障不超過 3 次的機率為何? (15) (註:exp(-0.05)=0.9512, exp(-0.1)=0.9048, exp(-0.2)=0.8187, exp(-0.5)=0.6065)
(7 分)二次故障間隔超過 30 天的機率為何? (16)