ECO 341, The Midterm
1. Some General Questions
a. What does it mean for a time series to be variance ergodic?
A: If the series is variance ergodic, then as the sample size approaches innity, the sampl
Introduction: Problems
1. Re-write the following stochastic process using lag operators:
xt = + (1 L + 3 L3 + 4 L4 )xt + (1 + 1 L + 3 L3 )ut
(1)
2. OLS may be appropriate if the temporal component of
Introduction: Problems
1. Re-write the following stochastic process using lag operators:
xt = + 1 xt1 + 3 xt3 + 4 xt4 + ut + 1 ut1 + 3 ut3
(1)
2. Suppose that you have a time-series measured annually.
Linear Algebra and Econometric Review: Problems
Consider the following matrices:
A=
3 9
1 4
4 1
B= 1 4 C=
5 3
2 0 7
0 1 3
1. Calculate the following:
a. CB
b. BC
c. A + (CB)
d. A + (BC)
e. A1
f. Det(A
Economics 318, Advanced Macroeconomics
Winter 2014
Paper Assignment
One-third of the nal class grade depends on a nal paper. The class material is largely theoretical. While you are welcome to write a
Trends and Unit Roots1
As we have discussed, the estimation techniques of this class require that each time series
be stationary. Unfortunately, many time series do not possess this property. These no
Vector Autoregressions1
We now turn our attention to estimating an entire system of variables through the use of vector
autoregressions. Ultimately, we wish to estimate and forecast how shocks to one
ECO 341, Fall 2013, Required Homework Assignment #4
Due at 5 PM on Wednesday, October 30
For this assignment, you are to collect a set of time series. These may consist of the variables that
you will
ECO 341, The Midterm
1. Some General Questions
a. What does it mean for a time series to be variance ergodic?
b. How do econometricians generally deal with correlation between the error term and an in