Assignment #2 - Selected Solutions
Economics 871 - Time Series
Prof. Jonathan B. Hill
February 24, 2013
1.
We have
= + 27564103 1 25641026 2 + 80128205 3 +
= + 1 1 + 2 2 + 3 3 +
1.1
The IRF is
3
X
+
= =
=1
2
Q
( )
6=
!
which is stable, or convergen
Midterm Examination - Selected Answers
Economics 871 - Time Series
Prof. Jonathan B. Hill
We have
yt = c +
1 yt 1
+
2 yt 2
+ t;
where t is a stationary martingale dierence with respect to =t = ( :
t), and 2 := E [ 2 ]
t
2
0
< 1. Let c = 0 unless otherwise
1
Final Exam
Econ. 871 - Time Series
Spring 2012
Prof. Jonathan B. Hill
Instructions:
There are 100 points possible. Valid proofs must be accompanied with proper citations
or proofs of all required limit laws.
iid
1.
(WLS: 35 points)
Consider an AR(1) yt