hw2_answer_econ120c_su07_S1

hw2_answer_econ120c_su07_S1 - Economics 120C Professor...

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Economics 120C Name: _________________________ Professor Yongil Jeon Summer 2007-1 Student ID#: _________________________ Answer to Homework #2 – Summer 2007-Session 1, Econ 120C (Final Exam, Summer 2006, Econ 120C) Answer all questions on separate paper. This problem set should be handed in to your TA at the beginning of your review session on Wednesday, August 1st, 2007. Problem sets may not be handed in once solutions have been distributed. Please write down your name and PID clearly. Good luck! (1-a) (3 points) Autoregressive distributed lag models include a. current and lagged values of the error term. b. lags of the dependent variable, and lagged values of additional predictor variables. c. current and lagged values of the residuals. d. lags and leads of the dependent variable. Answer : b (1-b) (3 points) The j th autocorrelation coefficient is defined as a. 1 1 cov( , ) var( ) var( ) tt YY . b. cov( , ) var( ) var( ) j j YX . c. cov( , ) var( ) var( ) Yu . d. cov( , ) var( ) var( ) j j . Answer : d (1-c) (3 points) An autoregression is a regression a. of a dependent variable on lags of regressors. b. that always allows for the errors to be correlated. c. model that relates a time series variable to its past values. d. to predict sales in a certain industry. Answer : c
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2 Answer to HW #2, ECO 120C, SUMMER 2007 – Session 1 (1-d) (3 points) The times series regression with multiple predictors a. is the same as the ADL( p,q ) with additional predictors and their lags present. b. gives you more than one prediction. c. cannot be estimated by OLS due to the presence of multiple lags. d. requires that the k regressors and the dependent variable have nonzero, finite eighth moments. Answer : a (1-e) (3 points) The Granger causality test a. uses the F -statistic to test the hypothesis that certain regressors have no predictive content for the dependent variable beyond that contained in the other regressors. b. establishes the direction of causality (as used in common parlance) between X and Y in addition to correlation. c. is a rather complicated test for statistical independence. d. is a special case of the augmented Dickey-Fuller test. Answer : a (1-f) (3 points) In time series, the definition of causal effects a. says that one variable helps predict another variable. b. does not make much sense since there are not multiple subjects. c. assumes that the same subject is being given different treatments at different points in time. d. requires panel data. Answer : c
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3 Answer to HW #2, ECO 120C, SUMMER 2007 – Session 1 (1-h) (3 points) The concept of exogeneity is important because a. it clarifies whether or not the variable is determined inside or outside your model. b. maximum likelihood estimation is no longer valid.
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This note was uploaded on 07/17/2008 for the course ECON 120C taught by Professor Stohs during the Spring '08 term at UCSD.

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hw2_answer_econ120c_su07_S1 - Economics 120C Professor...

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