Professor Morten Nielsen
307 Dunning Hall
Email: [email protected]
Winter 2014
Economics 851 Homework 5
Due Tuesday, February 25, in class
1. (80 points) Consider the exponential regression model yt = e + xt + ut , where fut ; t =
1; : : : ; T g is an i
Professor Morten Nielsen
307 Dunning Hall
Email: [email protected]
Winter 2014
Economics 851 Homework 9
Due Tuesday, March 25, in class
Note: Throughout this homework, unless otherwise noted, "t denotes a white noise process with
mean zero and variance
Professor Morten Nielsen
307 Dunning Hall
Email: [email protected]
Winter 2014
Economics 851 Homework 10
Due Tuesday, April 1, in class
1. (20 points) Trends can be troublesome. This problem shows an example using deterministic
trends, later in the cour
Professor Morten Nielsen
307 Dunning Hall
Email: [email protected]
Winter 2014
Economics 851 Homework 11
Due Friday, April 6
1. (10 points) Let yt follow the simple random walk
yt = yt
where y0 is xed and "t is i:i:d: (0;
2
1
+ "t ;
). What is the corre
Professor Morten Nielsen
307 Dunning Hall
Email: [email protected]
Winter 2014
Economics 851 Econometrics II
Course Description:
This course is the second course in a two-course sequence for PhD students. The goal of the
course is to provide a solid fou
Professor Morten Nielsen
307 Dunning Hall
Email: [email protected]
Winter 2014
Economics 851 Practice Final
Instructions:
This is a CLOSED BOOK exam.
You have 3 hours to complete the exam.
Answer ALL questions.
Each part of the questions (a,b, etc) are
Professor Morten Nielsen
307 Dunning Hall
Email: [email protected]
Winter 2014
Economics 851 Homework 8
Due Tuesday, March 18, in class
1. (20 points) Under the usual conditions on U , consider the bivariate triangular system,
Y
where B is an unrestrict
Professor Morten Nielsen
307 Dunning Hall
Email: [email protected]
Winter 2014
Economics 851 Homework 7
Due Tuesday, March 11, in class
1. (30 points) Monte Carlo study. Consider the autoregressive model yt = yt 1 + "t , where "t
is i.i.d. (0; 2 ). Supp
Professor Morten Nielsen
307 Dunning Hall
Email: [email protected]
Winter 2014
Economics 851 Homework 2
Due Tuesday, January 28, in class
1. (30 points) Consider the simple trending time series regression model
yt =
where
+ t + ut ;
t = 1; : : : ; T;
is
Professor Morten Nielsen
307 Dunning Hall
Email: [email protected]
Winter 2014
Economics 851 Homework 3
Due Tuesday, February 4, in class
1. (30 points) Monte Carlo study. Let the data generating process be
xt = 10 + ut ;
where fut g is an ARCH(1) proce
Professor Morten Nielsen
307 Dunning Hall
Email: [email protected]
Winter 2014
Economics 851 Homework 4
Due Tuesday, February 11, in class
1. (20 points) Let
= [ 10; 10].
(a) Find the pointwise limit (as T ! 1) of
QT ( ) =
(b) Is the convergence uniform
Professor Morten Nielsen
307 Dunning Hall
Email: [email protected]
Winter 2014
Economics 851 Homework 6
Due Tuesday, March 4, in class
1. (20 points) Consider the regression model y = X + u, where we wish to test the hypothesis
H0 : R = r against HA : R
Professor Morten Nielsen
307 Dunning Hall
Email: [email protected]
Winter 2014
Economics 851 Homework 1
Due Tuesday, January 21, in class
1. (10 points) Prove that E (I (X 2 A) = P (X 2 A).
L
L
s
r
2. (10 points) Prove that Xn ! X implies that Xn ! X fo