Christiano
FINC 520, Spring 2007
Midterm Exam.
Here are some trigonometric properties that you may nd useful:
sin (k ) = 0, integer k, sin (/2) = 1
cos (0) = 1, cos (/2) = 0, cos () = 1
exp (i ) = cos
Christiano
FINC 520, Spring 2007
Final Exam.
Please do this exam on your own. It is due in Emiliano Pagnottas box
by noon, Thursday.
1. Consider the time series model you estimated in question 3, part
Christiano
FINC 520, Spring 2008
Midterm Exam.
There are 100 points possible on this exam. The number of points allocated to each question are indicated, so you can allocate your time accordingly.
1.
Christiano
FINC 520, Spring 2008
Final Exam.
This is a closed book exam. Points associated with each question are
provided in parentheses. Good luck!
1. (20) Consider a stochastic process, at , which
Christiano
FINC 520 Midterm
Spring 2009
1. Suppose yt is an ARMA(p,q) process, i.e.
yt =
1 yt 1
+
where E ["2 ] =
t
2 yt 2
2
":
+ : +
p yt p
t ; F;
1 "t 1
+
2 "t 2
+ : +
q "t q ;
Write the ARMA(p,q) p
Christiano
FINC 520, Spring 2008
Final Exam.
This is a closed book exam. Points associated with each question are
provided in parentheses. Good luck!
1. Prove the law of iterated mathematical expectat
Christiano
FINC 520, Spring 2010
Midterm Exam.
There are 100 points possible on this exam. The number of points allocated to each question are indicated, so you can allocate your time accordingly. The
Christiano
FINC 520, Spring 2010
Homework 8, due May 30.
1. This question studies the Monte Carlo Markov Chain (MCMC) algorithm and the Laplace approximation. Because we do this in an example where we
FINC-520
Christiano
Wold Representation Theorem
We have discussed a class of ARMA models and derived restrictions which ensure they
are models for covariance stationary time series. We have shown that
Christiano
FINC 520, Spring 2009
Homework 1, due Wednesday, April 8.
1. Consider a stochastic process with covariance function, 0 > 0, |1 | <
1
, j = 0, j 2. Identify two MA(1) representations for xt
Christiano
FINC 520, Spring 2009
Homework 8, due Thursday, June 4.
1. Consider the iid Normal stochastic process, cfw_xt , with Ext = and
E (xt )2 = 2 . Let l = E (xt )l denote the lth moment about
t
Christiano
FINC 520, Spring 2009
Homework 7, due Thursday, May 28.
1. We describe a model economy in terms of its equilibrium conditions,
expressed in linearized form:
Et t+1 + xt t = 0 (1)
[rt Et t+