ECO 341K

University of Texas

Introduction to Econometrics
Prof. Sukjin Han

Sample In-Class Exam #2

NAME:

______________________________________________

There are a total of 30 points on this exam. The exam is closed book. You may only refer
to the exam and the provided cheat sheet and statistical tables. Do not spend too much
time on any one question; skip it if you get stuck. Be sure to show any work (for partialcredit purposes).
Good luck!

ECO 341K
University of Texas

Introduction to Econometrics
Prof. Sukjin Han

Sample In-Class Exam #2

The following multiple regression is based upon data collected at the first exam. The dependent
variable is students height (height), and the explanatory variables are fathers height (dadhgt)
and mothers height (momhgt). The regression is limited to male students, a sample of 33
observations.
. regr height dadhgt momhgt if !female
Source |
SS
df
MS
-------------+-----------------------------Model | 30.4216937
2 15.2108468
Residual |
104.91164
30 3.49705466
-------------+-----------------------------Total | 135.333333
32 4.22916667

Number of obs
F( 2,
30)
Prob > F
R-squared
Adj R-squared
Root MSE

=
=
=
=
=
=

33
0.2248
0.1731
1.87

-----------------------------------------------------------------------------height |
Coef.
Std. Err.
t
P>|t|
[95% Conf. Interval]
-------------+---------------------------------------------------------------dadhgt |
.1026804
.1104636
0.93
0.360
-.1229162
.3282771
momhgt |
.3440704
.1304094
2.64
0.013
_cons |
41.29917
10.61454
3.89
0.001
19.62139
62.97695
------------------------------------------------------------------------------

Assume in the following questions that assumptions MLR.1 MLR.6 hold.

1. (2 points) Is momhgt statistically significant at a 5% level? Answer yes or no, and
clearly state the reason.

2. (2 points) Provide a 95% confidence interval for momhgt.

3. (2 points) Conduct a full F-test at a 5% level. State the null hypothesis, compute the Fstatistic, and clearly state the conclusion of your test. (Please note that the F-stat and p-value
have been erased from the output.)

4. (2 points) Note that the p-value for the t-test of H0: dadhgt = 0 is equal to 0.360. Find the
value k for which the p-value for the t-test of H0: momhgt = k is also equal to 0.360. (There
are two possible answers to this question.)

The following multiple regression is based upon data (680 observations) from a spring-semester
economics principles course at a large university. The goal of the regression is to explain
performance on the final exam (denoted final). The explanatory variables are:
priGPA
ACT
frosh
soph

prior GPA (in semesters prior to this course)

performance on the ACT exam (taken in high school)
1 if student is a freshman, 0 otherwise
1 if student is a sophomore, 0 otherwise

. regr final priGPA ACT frosh soph

Source |
SS
df
MS
-------------+-----------------------------Model | 3014.38695
4 753.596739
Residual | 12047.5601
675 17.8482372
-------------+-----------------------------Total | 15061.9471
679 22.1825435

Number of obs
F( 4,
675)
Prob > F
R-squared
Adj R-squared
Root MSE

=
=
=
=
=
=

680
42.22
0.0000
0.2001
0.1954
4.2247

-----------------------------------------------------------------------------final |
Coef.
Std. Err.
t
P>|t|
[95% Conf. Interval]
-------------+---------------------------------------------------------------priGPA |
2.483215
.3316509
7.49
0.000
1.832024
3.134406
ACT |
.3597203
.0497074
7.24
0.000
.2621206
.45732
frosh | -.1068721
.5116281
-0.21
0.835
-1.111446
.8977018
soph | -.7325443
.4283313
-1.71
0.088
-1.573566
.1084776
_cons |
11.81737
1.233853
9.58
0.000
9.39472
14.24002
------------------------------------------------------------------------------

5. (2 points) Explain in words what the soph coefficient estimate means.

6. (2 points) Explain how you would test whether there is any effect of class (that is, freshman
vs sophomore vs others) in this regression. Be specific about the null hypothesis of interest
and the restricted regression that would be needed for the hypothesis test.

7. (2 points) Your classmate suggests that prior GPA is probably less important for freshmen as
a predictor of final exam performance (since prior GPA is based upon a single semester for
freshmen). What variable would you add to the model to allow for this possibility? And
what sign would you expect for this variables coefficient estimate if your classmate is
correct?

Two interaction variables are added to the original regression, froshACT = frosh*ACT and
froshGPA = frosh*priGPA. The soph indicator variable is dropped. The resulting regression
results are as follows:
. regr final priGPA ACT frosh froshGPA froshACT
-----------------------------------------------------------------------------final |
Coef.
Std. Err.
t
P>|t|
[95% Conf. Interval]
-------------+---------------------------------------------------------------priGPA |
2.755681
.3786656
7.28
0.000
2.012175
3.499187
ACT |
.3761524
.0579058
6.50
0.000
.262455
.4898498
frosh |
7.033813
2.925422
2.40
0.016
1.289777
12.77785
froshGPA | -1.681447
.804727
-2.09
0.037
-3.261521
-.1013741
froshACT | -.1217634
.1150258
-1.06
0.290
-.3476154
.1040886
_cons |
10.16268
1.323208
7.68
0.000
7.564576
12.76079
------------------------------------------------------------------------------

8. (2 points) What is the expected difference in final-exam performance between freshmen and
non-freshmen at given values of priGPA = GPA* and ACT = ACT*?

9. (2 points) For non-freshmen, what is the expected effect of a 0.1 point increase in priGPA
and a 1 point increase in ACT upon final exam performance?

10. (2 points) Suppose you want to test whether or not a 0.1 point increase in priGPA has the
same expected effect (on final) as a 1 point increase in ACT for non-freshmen. State the
appropriate null hypothesis, and state the number of restrictions (q) in the null hypothesis.

We drop frosh and the interaction variables. Instead, we add quadratic variables for GPA and
ACT, specifically GPAsq = priGPA*priGPA and ACTsq = ACT*ACT.
. regr final priGPA ACT GPAsq ACTsq
Source |
SS
df
MS
-------------+-----------------------------Model | 3294.86045
4 823.715113
Residual | 11767.0866
675 17.4327209
-------------+-----------------------------Total | 15061.9471
679 22.1825435

Number of obs
F( 4,
675)
Prob > F
R-squared
Adj R-squared
Root MSE

=
=
=
=
=
=

680
47.25
0.0000
0.2188
0.2141
4.1753

-----------------------------------------------------------------------------final |
Coef.
Std. Err.
t
P>|t|
[95% Conf. Interval]
-------------+---------------------------------------------------------------priGPA | -6.208236
2.218298
-2.80
0.005
-10.56383
-1.852642
ACT |
-.570663
.4696495
-1.22
0.225
-1.492813
.3514866
GPAsq |
1.635363
.4226328
3.87
0.000
.8055298
2.465196
ACTsq |
.0196207
.0103714
1.89
0.059
-.0007433
.0399848
_cons |
33.18805
5.859935
5.66
0.000
21.68216
44.69394
------------------------------------------------------------------------------

11. (2 points) Which of the two following regressions would have a larger R-squared:
a. final on priGPA, ACT, GPAsq
b. final on priGPA, ACT, ACTsq
Briefly explain your answer.

12. (2 points) What is the estimated effect of ACT on expected final exam performance when
ACT = 20 and priGPA = 3.0?

13. (2 points) Sketch a graph of E[final | priGPA, ACT] (y-axis) versus priGPA (x-axis). Note
that the shape should be a parabola. The scale of the y-axis is not important for this question,
but please indicate the value of priGPA at which the turning point of the parabola occurs.

To determine whether there is heteroskedasticity in the original regression, you construct

residuals, square them, and run the regression of squared residuals (residsq) on the explanatory
variables:
. regr residsq educ exper union belavg abvavg goodhlth if !female
Source |
SS
df
MS
-------------+-----------------------------Model | 4.17134472
6
.69522412
Residual | 133.976115
817 .163985453
-------------+-----------------------------Total |
138.14746
823 .167858396

Number of obs
F( 6,
817)
Prob > F
R-squared
Adj R-squared
Root MSE

=
=
=
=
=
=

824
4.24
0.0003
0.0302
0.0231
.40495

-----------------------------------------------------------------------------residsq |
Coef.
Std. Err.
t
P>|t|
[95% Conf. Interval]
-------------+---------------------------------------------------------------educ | -.0062922
.0055614
-1.13
0.258
-.0172085
.0046241
exper |
.0000169
.001206
0.01
0.989
-.0023503
.0023841
union | -.1291086
.031189
-4.14
0.000
-.1903286
-.0678886
belavg | -.0372752
.0454924
-0.82
0.413
-.1265709
.0520206
abvavg |
.0185981
.0325431
0.57
0.568
-.0452799
.0824761
goodhlth | -.1632458
.0604278
-2.70
0.007
-.2818578
-.0446338
_cons |
.5045104
.0984947
5.12
0.000
.3111779
.6978429
------------------------------------------------------------------------------

14. (2 points) Is there evidence of heteroskedasticity? Explain why or why not.

15. (2 points) Explain what the (significantly) negative estimate on goodhlth says about the
relationship between wages and health. Just give a qualitative answer (you dont need to
refer to the numerical value).