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Unformatted text preview: estimate it by running separate OLS regressions). If we call the residual vector of the VAR e t = e Y t e U t , then what is the sample var-covar matrix = 1 T kq e t e t ? 4. Assuming that the structual" shocks t = d t s t are i.i.d with var-covar matrix I and using the identifying restriction that demand shocks have no long run effect on output, what is the implied VMA representation? 5. Plot the impulse response functions for output and unemployment for 1% demand and supply shocks for 40 quarters (see Figs. 1 and 2 in B-Q). 1...
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This note was uploaded on 08/06/2008 for the course ECON 387 taught by Professor Corbae during the Spring '07 term at University of Texas at Austin.
- Spring '07