Econ 674 Spring 2009
Professor Bunzel
Due date: Beginning of class April 2.
Problemset 3
1. Let Fn (y; x) be the EDF of F (y; x) : Show that the asymptotic variance
p
of n (Fn (y; x) F (y; x) is F (y; x) (1 F (y; x) :
2. Refer to the lecture notes on the
Econ 674 Spring 2009 Professor Bunzel Due date: Beginning of class March 3.
Problemset 2
1. Find the Yule-Walker equations for the AR(2) process Xt = and show that
k
1 Xt 3 2 3
1
2 + Xt 9 5 21
2
+ "t
jkj
=
16 21
jkj
+
1 3
2. This problem concerns invertib
Econ 674 Spring 2009 Professor Bunzel Due date: Beginning of class January 29.
Problemset 1
1. For each of the following verify that the solution in fact satises the dierence equation. The symbols c; c0 , and a0 denote constants: (Hint, to verify you do n
Econ 674 Spring 2009
Professor Bunzel
Due date: Beginning of class April 16.
Problemset 4
1. Assume that fyt g is generated according to the simple trend model
yt =
+ t + "t
where "t is white noise with nite fourth moments.
(a) Suppose you estimate the mo