Time Series Methods in Financial Econometrics
ECON 509 Lab 5 Solution
Sebastian Fossati
Analytical Exercises
Question 1
[1] 2t are exogenous shocks to nominal money supply. 1t are all other exogenous shocks to
output that are orthogonal to 2t .
[2]
B 1 By
Time Series Methods in Financial Econometrics
ECON 509 Lab 4 Solution
Sebastian Fossati
Analytical Exercises
Question 1
[1] Start writing
T
t=1 yt
as
T
yt = u1 + (u1 + u2 ) + + (u1 + + uT )
t=1
= T u1 + (T 1)u2 + + uT
Since it was assumed that ut i.i.d.N
Time Series Methods in Financial Econometrics
ECON 509 Lab 1 Solution
Sebastian Fossati
Analytical Exercises
Question 1
First note that E[yt ] = 0. To compute 0 , square yt and take expectations
2
E[yt ] = E[(yt1 + t + t1 )2 ]
After some manipulation we n