Econ 583
Fall 2009
HW #1
Eric Zivot
Due: Wednesday, October 7
1. Cholesky decomposition.
Result 1: For any symmetric and positive semi-denite matrix A there exists
a matrix B such that A = BB0 where B is a lower triangular matrix with all
diagonal element
Econ 583
Winter 2013
HW #1
Eric Zivot
Due: Monday, January 14
1. Recall Chebychevs inequality: Let by any random variable with [] =
and var() = 2 Then for every 0
Pr(| | )
var()
2
= 2
2
Suppose ( 2 ) Using Chebychevs inequality, determine the upper boun
Econ 583
Winter 2013
HW #3
Eric Zivot
Due: Monday, January 28
Reading
Hayashi, Econometrics, Chapter 1, Section 1.4 (Hypothesis Testing under Normality and Monte Carlo Exercises (pages 81 - 84); Chapter 2, Section 2.4.
(Hypothesis Testing).
My lecture n
Econ 583 HW 5
Eric Zivot
Winter 2013
Due: Monday, February 11.
1
Reading
1. Hayashi, Chapters 3 and 6.
2. Hall, Chapter 2 and Chapter 3, section 5.
3. Bakaert, G., and R. Hodrick, 1993, On Biases in the Measurement of Foreign
Exchange Risk Premiums, Journ
University of Washington
Department of Economics
Economics 583
Assignment #4
Single Equation Linear GMM
Due: Monday, 2/4/13
Readings:
1. Hayashi, Econometrics, Chapter 3
2. Hall, Generalized Method of Moments, Chapter 2.
3. Baum, C.F., M.E., Schaffer, and
updated: February 17, 2001; January 16, 2002 (minor correction on 3.3.8); February 4, 2003
(correction on 3.1.4); February 23, 2004 (correction on 3.3.8)
Hayashi Econometrics : Answers to Selected Review Questions
Chapter 3
Section 3.1
1. By (3.1.3a),
Cov
updated: 11/23/00
Hayashi Econometrics : Answers to Selected Review Questions
Chapter 2
Section 2.1
1. For n suciently large, |zn | < , which means Prob(|zn | > ) = 0.
2. The equality in the hint implies that limn E[(zn z) (zn z)] = 0 if and only if limn
December 27, 2003
Hayashi Econometrics
Solution to Chapter 3 Analytical Exercises
1. If A is symmetric and idempotent, then A = A and AA = A. So x Ax = x AAx =
x A Ax = z z 0 where z Ax.
2. (a) By assumption, cfw_xi , i is jointly stationary and ergodic,
Nov. 25, 2003, Revised Dec. 27, 2003
Hayashi Econometrics
Solution to Chapter 2 Analytical Exercises
1. For any > 0,
1
0 as n .
n
Prob(|zn | > ) =
So, plim zn = 0. On the other hand,
E(zn ) =
n1
1
0 + n2 = n,
n
n
which means that limn E(zn ) = .
2. As s
Econ 583 Lab 6
Solutions for Nonlinear GMM: Empirical Exercise
Eric Zivot
Winter 2013
1
Nonlinear GMM: Empirical Exercise
In this exercise, you will estimate a typical Euler equation asset pricing model. The
data for the exercise consists of monthly obser