課程名稱：計量經濟學(二) 課程性質：系選修 課程範圍： 開課教師：林祖嘉 開課學院：社科院 開課系級：經濟學系 考試日期(年月日)：101/06/19 考試時限(hours)：3hrs 試題本文： 下列題目中，請任選五題作答，每題20% 一、試比較probit model與logit model的異同與優缺點。 二、什麼是IIA(Independent to Irrelevant Alternatives)? 為什麼會出現IIA? 如果有IIA，請問該如何處理此一問題？ 三、Consider the model: C =b +b *C +b *Y +ε (1) 0 0 1 t-1 2 t 1t Y =C +I (2) t t-1 t I =a +a *Y +a *Y +a *r +ε (3) t 0 1 t 2 t-1 3 t 2t Where C, I, Y and r are, respectively, consumer expenditure, investment, income, and interest rate. Assume that ε1 and ε2 are not autocorrelated and are independent of rt. (1) List the endogeneous variable and the predetermined variables in the model. (2) How would you estimate equation (1)? (3) How would you estimate equation (2)? 四、試比較Kyock lag跟Almon lag的異同與優缺點。 五、在處理聯立方程式的估計時，為什麼要考慮rank condition？ 　　為什麼要考慮order condition？ 當這些條件滿足時，會得到什麼結果？　如果不滿足時，又會出現什麼問題？ 六、The VEC model is special form of the VAR for I(1) variables that are cointergrated. Consider the following VEC model: Δy =α +α (y -β -β x )+V t 10 11 t-1 0 1 t-1 yt Δx =α +α (y -β -β x )+V t 10 11 t-1 0 1 t-1 xt The VEC model may also rewritten as a VAR, but the two equations will contain common parameters: y =α +(α +1)y -α β -α β x +v t 10 11 t-1 11 0 11 1 t-1 yt x =α +α y -α β -(α β -1)x +v t 20 21 t-1 21 0 21 1 t-1 xt (a) Suppose you were given the following results of an estimated VEC model. ^ Δy =2-0.5(y -1-0.7x ) t t-1 t-1 ^ Δx =3+0.3(y -1-0.7x ) t t-1 t-1 Rewrite the model in the VAR form. (b) Now suppose you were given the following results of an estimated VAR model, but you were also told that y and x are cointergrated. ^ y =0.7y +0.3+0.24x t t-1 t-1 ^ x =0.6y -0.6+0.52x t t-1 t-1 Rewrite the model in the VEC form, --

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