P Set 3 - Problem Set 3, MGTECON 603, 2009 1 MGTECON 603,...

Info iconThis preview shows pages 1–2. Sign up to view the full content.

View Full Document Right Arrow Icon

Info iconThis preview has intentionally blurred sections. Sign up to view the full version.

View Full DocumentRight Arrow Icon
This is the end of the preview. Sign up to access the rest of the document.

Unformatted text preview: Problem Set 3, MGTECON 603, 2009 1 MGTECON 603, Econometrics I Jules H. van Binsbergen and Ying Xue Fall 2009 Stanford GSB PROBLEM SET 3 Due: Friday October 16 th in class 1. Let X and Y be independent standard normal rvs and define a new rv Z by Z = braceleftbigg X if XY > X if XY < (a) What is the distribution of Z ? (What is its name, etc.) (b) Show that the joint distribution of Z and Y is not bivariate normal. 2. Let X given Y = y have a normal distribution with mean y and variance one, and let the marginal distribution of Y be normal with mean Y and variance 2 Y . What is the distribution of Y given X = x ? 3. Let X 1 , X 2 , ... , X N given Y = y have independent normal distributions with mean y and variance one, and let the marginal distribution of Y be normal with mean Y and variance 2 Y . What is the distribution of Y given X 1 ,X 2 ,...,X N ? 4. Let X given Y have a binomial distribution with parameters n and y , and let the marginal distribution of Y be Beta with parameters...
View Full Document

Page1 / 2

P Set 3 - Problem Set 3, MGTECON 603, 2009 1 MGTECON 603,...

This preview shows document pages 1 - 2. Sign up to view the full document.

View Full Document Right Arrow Icon
Ask a homework question - tutors are online