Important dates for Econ 840 Robert de Jong, Spring 2008
The takehome handout dates are: 1. Wednesday April 2 2. Monday April 14 3. Monday May 5 4. Monday May 19 The takehomes are all due one week after they have been handed out, at the start of cl
Lecture 1: Stationary Time Series
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Introduction
If a random variable X is indexed to time, usually denoted by t, the observations {Xt , t T} is called a time series, where T is a time index set (for example, T = Z, the integer set). Time series
Lecture 2: ARMA Models
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ARMA Process
As we have remarked, dependence is very common in time series observations. To model this time series dependence, we start with univariate ARMA models. To motivate the model, basically we can track two lines o
Econ 840 Exercise for March 26
De Jong, Spring 2008
Answer the question below for Wednesday's class. The questions below are about difference equations, and about a deterministic sequence yt . Below, i denotes -1.
1. Consider the equation yt = 0.2
Econ 840 Exercise for March 31
de Jong, Spring 2008
Answer the question below for Monday's class. You do not need to hand in your answers. Below, as in the whole course, t and t are i.i.d. regression errors.
1. Consider the difference equation yt -
Econ 840 Exercise for April 7
de Jong, Spring 2008 Answer the question below.
Consider and AR(1) model yt = yt-1 + t where | < 1. Someone runs a linear regression of yt on yt-1 ; i.e. overdifferencing. What will be the probability limit of the resul
Economics 840: Time Series Econometrics Professor Robert M. de Jong Office: 429 Arps Hall Email: [email protected] Office hours: Tuesdays and Thursdays, 1:00-3:00pm. Classes: Mondays and Wednesdays, 9:30-11:18am. TA for this course: Jungick Lee (lee.
First take home exercise, Econ 840
De Jong, Spring 2008 Answer all questions below. Please hand in your solutions at the start of the class of Wednesday April 9. 1. Consider the MA(3) process yt = t - (11/4)t-1 + (13/8)t-2 - (1/4)t-3 . What will be t