Problem Set #5
Spring 2010
1. If yt is a quarterly seasonal time series, with the model
yt =
4
X
i Dit
+ et
i=1
where D1t ; D2it are the dummies for the rst quarter, second quarter, etc.The estimates are ^ 1 = 0:5;
^ 2 = 0:8; ^ 3 = 0:2 and ^ 4 = 0:4: Cons
Problem Set #10
Spring 2010
When turning in your problem set, turn in both your STATA .do les (or log le) as well as the output.
1. Exercise 15.1 from Stock-Watson
2. Exercise 15.3 from Stock-Watson
3. The le gdp.dta has been augmented to include the foll
Problem Set #9
Spring 2010
When turning in your problem set, turn in both your STATA .do les (or log le) as well as the output.
1. Director Hastings asserts that the GDP of Kamistan follows an AR(1) process. Agent Bauer believes
an informant, who told him
Problem Set #8
Spring 2010
When turning in your problem set, turn in both your STATA .do les (or log le) as well as the output.
1. In the previous problem set you estimated an AR(4) for the growth rate of U.S. exports. Re-estimate
this regression, this ti
Problem Set #7
Spring 2010
When turning in your problem set, turn in both your STATA .do les (or log le) as well as the output.
1. Diebold, Chapter 9, Problem 1
2. Diebold, Chapter 9, Problem 3, parts (a)-(d)
3. Take a stationary AR(p) process
yt =
+
1 yt
Problem Set #6
Spring 2010
When turning in your problem set, turn in both your STATA .do les (or log le) as well as the output.
1. Diebold, Chapter 7, Problem 1
2. Diebold, Chapter 7, Problem 2
3. Diebold, Chapter 7, Problem 5
4. Diebold, Chapter 7, Probl
Problem Set #4
Spring 2010
1.
(a) If
yt =
0
+
1 T imet
+ et
and T imen = 100 for n = 100; which is 2009Q4 (quarterly data) . Suppose the estimated model
is
^ = 0:51
0
^ = 0:02
1
^ 2 = 16
Construct point and nominal 90% interval forecasts (use the normal i
Problem Set #3
1 of 1
Subject: Problem Set #3
From: Bruce E Hansen <[email protected]>
Date: Tue, 02 Feb 2010 14:56:46 -0600
To: [email protected]
Problem Set #3
Due: Tuesday, February 9 (at the beginning of class)
(1) Let y(t) be a time serie
Problem Set #2
1 of 1
Subject: Problem Set #2
From: Bruce E Hansen <[email protected]>
Date: Tue, 26 Jan 2010 14:58:44 -0600
To: [email protected]
Problem Set #2
Due: Tuesday, February 2 (at the beginning of class)
(1) Diebold, Chapter 3, Exer
Problem Set #1
1 of 1
Subject: Problem Set #1
From: Bruce E Hansen <[email protected]>
Date: Wed, 20 Jan 2010 09:22:50 -0600
To: [email protected]
Problem Set #1
Due: Tuesday, January 26 (at the beginning of class)
(1) Diebold, Chapter 1, Exer
Study Questions for Midterm II Economics 390 November 1, 2007 1. You have received job offers in three different locations and to make your decision you have collected the following information: Moving costs = $5,000 and do not vary with distance. You dec
Study Questions on Material Since 2nd Midterm Exam Economics 390 December 14, 2007 1. Please define and explain the difference between a cohort and period life table. Which do we use most frequently? Why? 2. Use the singleyear life table to form an abridg
Economics 390
Autumn 2009
Prof. Walker
Page 1
Midterm Exam 1
Please answer all questions in your blue book. You may enter answers in the blue in any order,
please clearly label the answer and write your name in each blue book. The weight of each question
Final Exam
Economics 390
December 21, 2007
Answer all questions in your bluebook. Please enter your name and number all bluebooks that you that
you use.
Questions are equally weighted; they may not take the same amount of time to answer.
Show all your wor
Midterm II
Economics 390
November 1, 2007
1. (30 minutes) You have been accepted for graduate studies at State School University (SSU)
and Ivy League School (ILS). You make decisions that maximize the present value of life time
earnings. Annual tuition at