CƠ SỞ II TRƯỜNG ĐẠI HỌC NGOẠI THƯƠNG ĐỀ THI KẾT THÚC HỌC PHẦN

KINH TẾ LƯỢNG TÀI CHÍNH – KTEE310

BỘ MÔN QUẢN TRỊ KINH DOANH- TÀI __________________________________
CHÍNH VÀ KẾ TOÁN
Học kỳ :1 Năm học: 2021 – 2022
_________________________
Hệ: Chính quy Mã lớp tín chỉ: 49
Khóa: 59
ĐỀ SỐ:1 Ngày thi: 27/12/2021 Ca thi: 10h15-11h05
Hình thức thi : Trắc nghiệm và tự luận
Thời gian làm bài: 50 phút (không kể thời gian
phát đề)

SECTION A. MULTIPLE CHOICE (2 points)

There are 10 questions in this section. Each question is worth 0.2 points.
Question 1. Econometrics is the branch of economic that _________.
(A) studies the behavior of individual economic agents in making economic decisions
(B) develops and uses statistical methods for estimating economic relationships
(C) deals with the performance, structure, behavior, and decision-making of an economy as a
whole
(D) applies mathematical methods to represent economic theories and solve economic
problem

Question 2. The first step in an econometric study should be to _________.

(A) develop the model
(B) collect the data
(C) review the literature
(D) estimate the unknown parameters

Question 3. The parameters of an econometric model _________.

(A) include all unobserved factors affecting the variable being studied
(B) describe the strength of the relationship between the variable under study and the factors
affecting it
(C) refer to the independent variables included in the model
(D) refer to the predictions that can be made using the model

Question 4. Which of the following statements is correct concerning the conditions required for
OLS to be a usable estimation technique?
(A) The model must be linear in the parameters.
(B) The model must be linear in the variables.
(C) The model must be linear in the variables and the parameters.
(D) The model must be linear in the residuals.

Question 5. Which of the following is a correct interpretation of a “95% confidence interval” for
a regression parameter?
(A) We are 95% sure that our estimate of the coefficient is correct.
(B) We are 95% sure that the interval contains our estimate of the coefficient.
(C) In repeated samples, we would derive the same estimate for the coefficient 95% of the
time.
(D) We are 95% sure that the interval contains the true value of the parameter.
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Question 6. Which of the following is NOT a good reason for including a disturbance term in
regression equation?
(A) To capture omitted determinants of the dependent variable.
(B) To allow for the non-zero mean of the dependent variable.
(C) To allow for errors in the measurement of the dependent variable.
(D) To allow for random influences of the dependent variable.

Question 7. As the number of independent variables increases _________.

(A) R-squared almost invariably increases and never decreases
(B) R-squared almost invariably decreases
(C) R-squared is unchanged

Question 8. In the regression model: wage= α0+ α1wage+ α2Female + α2Male+ε, where Female
and Male are two binary variables of gender:
(A) There is perfect multicollinearity.
(B) The computer will refuse to run this regression.
(C) The computer will automatically drop one independent variable.
(D) All of the statements above are correct.

Question 9. In the regression model: wage= α0+ α1wage+ α2Female + α2Male+ε, α0 is called:
(A) the slope coefficient.
(B) the error term.
(C) the intercept.
(D) The residuals.

Question 10. Which one of the following is NOT an assumption of the classical linear regression
model?
(A) The independent variables are uncorrelated with the error terms.
(B) The disturbance terms have zero mean.
(C) The dependent variable is not correlated with the disturbance terms.
(D) The disturbance terms are independent of one another.
SECTION B. SHORT ESSAY QUESTIONS AND CALCULATION TASKS (8
points)
Problem 1 (3 points):
Our dataset contains information on chief executive officers for U.S. corporations. We estimate
the following equation:
lsalary =  0 + 1lsales +  2 roe +  3 rosneg +  1 finance+  2 consprod +  3utility+ v (1)
where salary = annual compensation in thousands of dollars
lsalary = ln(salary)
sales = annual firm sales in millions of dollars
lsales = ln(sales)
roe = return on equity in percentage form
ros = return on the firm’s stock in percentage form
rosneg = 1 if ros<0, 0 otherwise
finance, consprod, utility are binary variables indicating the financial, consumer product
and utility firms. The omitted variable indicates the industrial firms.

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 The results are presented in Table 1.

Table 1: Regression results

VARIABLES Model (1)

lsales 0.272
(0.0320)
roe 0.00916
(0.00430)
rosneg -0.283
(0.105)
finance 0.138
(0.0880)
consprod 0.161
(0.0838)
utility -0.333
(0.0995)
Constant 4.551
(0.291)
Observations 209
R-squared 0.379
F-statistics 20.55
Prob>F 0.000
Standard errors in parentheses

(i) Discuss the results in Table 1. (2 points)

(ii) What is the exact percentage difference in estimated salary between the consumer
product and financial firms (0.5 points)? Write an equation that would allow you to test
whether the difference is statistically significant (0.5 points).

Problem 2 (3 points)
We use data on time spent sleeping and estimate the equation:
sleep =  0 + 1totwrk +  2 educ +  3 age +  4 agesq +  5 male + u (2)
where: sleep = total minutes per week spent sleeping at night
totwrk = total minutes per week spent working
educ = number of schooling years
age = age measured in years
agesq = age2
male =1 for male, 0 otherwise
The results are presented in Table 2

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 Table 2: Regression results

VARIABLES Model (2)

totwrk -0.163
(0.0181)
educ -11.71
(5.867)
age -8.697
(11.21)
agesq 0.128
(0.134)
male 87.75
(34.33)
Constant 3,841
(235.1)

Observations 706
R-squared 0.123
Standard errors in parentheses
(i) Test the hypothesis that there is a tradeoff between working and sleeping (0.5 points).
What is the estimated tradeoff? (0.5 points).
(ii) Test the significance of the model (F*5, 700,0.01 =3.04) (0.5 points).
(iii) Test the hypothesis that β1 > -0.1 (0.5 points).
(iv) Suppose you want to test the null hypothesis that, holding other factors fixed, age has no
effect on sleeping. Explain the steps to do the test (1 point).
Problem 3 (1 points):
We express the Cobb-Douglas model as follows:
Yi = 1 X 2i2 X 3i3 ui
where Y=GDP (millions of USD), X2=labor (Thousand of people in employment), X3=capital
(Fixed capital in millions of USD).
Suppose we want to test whether there are constant returns to scale. Using the results in Table 3,
provide detailed steps to do the test. ( F*1,17,0.05 = 4.45; F*2,18,0.05 = 3.55; F*2,17,0.05 = 3.20)
Table 3: Regression results

VARIABLES (3.1) (3.2)

Dependent variable=Ln(GDP) Dependent variable=Ln(GDP/labor)

Ln(labor) 0.340*
(0.186)
Ln(capital) 0.846***
(0.0934)
Ln(capital/labor) 1.015***

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 (0.0361)
Constant -1.652** -0.495***
(0.606) (0.122)

Observations 20 20
R-squared 0.995 0.978
F-statistics 1719 789.9
ESS 2.752 0.730

Standard errors in parentheses

*** p<0.01, ** p<0.05, * p<0.1
Problem 4 (1 point)
We collect data from a survey on wages, education and experience and estimate the following
models:
ln(wage) =  0 + 1educ +  2 exp er +  3tenure +  4 female +  o female* educ + u (4.1)
ln(wage) =  0 + 1educ +  2 exp er +  3tenure +  4 female + 1 female* (educ − 12) + u (4.2)
where: wage= monthly salary
educ= years of education
exper= years of work experience
tenure=years with current employer
female=0 if female, 0 otherwise
The results are presented in Table 4.
Table 4: Regression results

VARIABLES Model (4.1) Model (4.2)

educ 0.090 0.0903

(0.00872) (0.00872)
exper 0.00464 0.00464
(0.00163) (0.00163)
tenure 0.0174 0.0174
(0.00298) (0.00298)
female -0.210 -0.297
(0.174) (0.0380)
female*educ -0.00724
(0.0136)
female*(educ-12) -0.00724
(0.0136)
Constant 0.465 0.465
(0.123) (0.123)

Observations 526 526

R-squared 0.393 0.393
F-statistics 67.22 67.22
Standard errors in parentheses

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 (i) Interpret the coefficient on female*educ in equation (4.1)
(ii) Interpret the coefficient on female in equation (4.2).

--------------------------------------End of test--------------------------------------
Note: - This paper contains 10 questions from Section A, 04 problems from Section B, 06 pages.
- Students are allowed to use materials during the examination.
- Invigilators shall not provide further explanation.

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