Economics 468
October 3, 2012
R. Davidson
Assignment 2
The data for this assignment can be found on the website at
http:/russell-davidson.arts.mcgill.ca
You are asked to do questions 2.2, 2.10, 2.13, 2.23, and 2.24 from the set of questions in
Chapter 2 o
Economics 468 Assignment 2
2.2 A vector in E n can be normalized by multiplying it by the reciprocal of
its norm. Show that, for any x E n with x = 0, the norm of x/ x is 1.
Since x is just a scalar, the norm of x/ x can be computed as
1
x
x x=
2
x
x
2
2
Economics 467 Assignment 3
3.1
Generate a sample of size 25 from the model
y = 1 + 2 y1 + u,
u IID(0, 2 I)
with 1 = 1, 2 = 0.8, and = 1. Here, y1 is the dependent variable lagged
once. For simplicity, assume that y0 = 0 and that the ut are NID(0, 1). Use
Jean-Marie Dufour
March 4, 2009
McGill University
ECN 467
Econ 467D2: Econometrics
Mid-term exam
No documentation allowed
Time allowed: 1.5 hour
30 points
1. Consider a process that follows the following model:
m
[Aj cos( j t) + Bj sin( j t)] , t Z ,
Xt =
Economics 468
October 25, 2010
R. Davidson
Midterm Examination
Do not be upset if this exam seems too long for you! Do not waste time on questions
for which you do not see how to obtain the answer. Rather, answer as much as you can.
Everything you do will
Economics 468
October 29, 2012
R. Davidson
Midterm Examination
Do not be upset if this exam seems too long for you! Do not waste time on questions
for which you do not see how to obtain the answer. Rather, answer as much as you can.
Everything you do will
Economics 468 Assignment 1
1.3 Consider two events A and B such that A B . Compute Pr(A | B ) in
terms of Pr(A) and Pr(B ). Interpret the result.
Since A B , it follows that A B = A. Therefore,
Pr(A B ) = Pr(A).
By denition,
Pr(A | B ) =
Pr(A B )
Pr(A)
=
Economics 468 Midterm Exam
1.
Consider the following linear regression model:
y = X1 1 + X2 2 + u,
(1)
where the dependent variable y is represented by an n 1 vector, and the
independent explanatory variables are grouped into two matrices, X1 and X2 ,
of
Economics 468
November 18, 2013
R. Davidson
Assignment 5
The data for this assignment can be found on the website at
http:/russell-davidson.arts.mcgill.ca
You are asked to do Exercises 5.3, 5.4, 5.6 and 5.15 from Chapter 5 of ETM. For ease,
these are repr
December 2014
Final Examination
Econometrics Honours
Economics 468
Thursday December 11, 2014, 18.0021.00
Examiner:
R. Davidson
Associate Examiner:
John Galbraith
Instructions:
Standard Calculators are allowed
This is a CLOSED BOOK examination
NO notes
in; MCGill December 2014
Final Examination
Econometrics Honours
Economics 468
Thursday December 11, 2014, 18.00—21.00
Examiner: R. Davidson Associate Examiner: John Galbraith
Instructions:
0 Standard Calculators are allowed
0 This is a CLOSED BOOK exami
ECON 510 Probability and Statistics II
(Econometrics)
Assignment 2
Mirza Trokic
trokic@bilkent.edu.tr
Department of Economics, Bilkent University, Ankara, Turkey
The assignment is to be handed in on Wednesday, March 12, 2014, at the end of class.
Late ass
Economics 468
October 26, 2015
R. Davidson
Midterm Examination
Do not be upset if this exam seems too long for you! Do not waste time on questions
for which you do not see how to obtain the answer. Rather, answer as much as you can.
Everything you do will
Economics 468
October 31, 2013
R. Davidson
Assignment 4
The data for this assignment can be found on the website at
http:/russell-davidson.arts.mcgill.ca
You are asked to do questions 4.14, 4.17, 4.20, and 4.24 from Chapter 4 of ETM. For ease,
these are r
Economics 468
October 9, 2013
R. Davidson
Assignment 3
The data for this assignment can be found on the website at
http:/russell-davidson.arts.mcgill.ca
You are asked to do questions 3.1, 3.7, 3.8, 3.23, and 3.24 from Chapter 3 of ETM. For
ease, these are
Economics 468
September 30, 2013
R. Davidson
Assignment 2
The data for this assignment can be found on the website at
http:/russell-davidson.arts.mcgill.ca/data/
You are asked to do questions 2.2, 2.10, 2.13, 2.23, and 2.24 from the set of questions in
Ch
Economics 468
October 29, 2012
R. Davidson
Midterm Examination
Do not be upset if this exam seems too long for you! Do not waste time on questions
for which you do not see how to obtain the answer. Rather, answer as much as you can.
Everything you do will
Economics 468 Midterm Exam
1.
Consider the regression
yt = + 1 xt1 + 2 xt2 + ut ,
t = 1, . . . , n.
The following printouts give the results from running this regression and the
regression obtained by omitting the second explanatory variable, x2 :
(printo
Economics 468 Midterm Exam
1.
Consider the regression
yt = + 1 xt1 + 2 xt2 + ut ,
t = 1, . . . , n.
The following printouts give the results from running this regression and the
regression obtained by omitting the second explanatory variable, x2 :
(printo
Economics 468
September 23, 2015
R. Davidson
Assignment 2
The data for this assignment can be found on the website at
http:/russell-davidson.arts.mcgill.ca/data/
You are asked to do questions 2.2, 2.10, 2.13, 2.23, and 2.24 from the set of questions in
Ch
Economics 468 Final Exam
1. An economic variable y, available as a series of quarterly observations,
was seasonally adjusted by regression, that is, y was regressed on four seasonal
dummy variables, s1 , s2 , s3 , and s4 . Denote the adjusted series by y
Jean-Marie Dufour
October 2011
Compiled: October 18, 2011
ECONOMETRICS 1
EXERCISES 2
Regression and prediction
1. Let X a random variable that follows a N (0, 1) distribution.
(a) Find the best predictor of X 2 (in the mean square sense) based on X , and
Jean-Marie Dufour
October 2011
Compiled: October 18, 2011
ECONOMETRICS 1
EXERCISES 3
Linear regression
1. State and prove the Gauss-Markov theorem.
2. Suppose we have
y = X +
(1)
along with assumptions of the classical linear model with E [ ] = 2 IT . In
Jean-Marie Dufour
November 2011
Compiled: November 21, 2011
ECONOMETRICS 1
EXERCISES 4
Linear regression
Empirical application
Canadian money demand
1. Consider the data on money demand variables supplied on the web site of the textbook by
Davidson and Ma
Economics 467
September 19, 2012
R. Davidson
Assignment 1
The data for this assignment can be found on the website at
http:/russell-davidson.arts.mcgill.ca
You are asked to do questions 1.3, 1.5, 1.6, 1.2, and 1.23 from the set of questions in
Chapter 1 o
Jean-Marie Dufour
April 27, 2009
McGill University
Department of Economics
Econ 467D2: Econometrics
Final exam
No documentation allowed
Hand calculator allowed
Time allowed: 3 hours
40 points
1. Answer by TRUE, FALSE or UNCERTAIN to each one of the follow
Jean-Marie Dufour
March 3, 2010
McGill University
Econ 469: Econometrics
Mid-term exam
No documentation allowed
Time allowed: 1.5 hour
20 points
1. Consider a MA(1) model:
Xt = + ut ut1 , t Z
where ut is a white noise process with mean zero and variance 2
Jean-Marie Dufour
April 29. 2010
McGill University
Department of Economics
Econ 469: Econometrics
Final exam
No documentation allowed
Hand calculator allowed
Time allowed: 3 hours
30 points
1. Answer by TRUE, FALSE or UNCERTAIN to each one of the followin
Jean-Marie Dufour
September 2011
Compiled: October 18, 2011
ECONOMETRICS 1
EXERCISES 1
Covariance matrices
1. Let X = (X1 , . . . , Xk ) a k 1 random vector, a scalar, a and b xed k 1 vectors, and A a
xed g k matrix. Then, provided the moments considered
Economics 467 Assignment 4
4.14
Consider the linear regression model
y = X + u,
u N(0, 2 I),
E(u | X ) = 0,
where X is an n k matrix. If 0 denotes the true value of , how is the
2
quantity y MX y /0 distributed? Use this result to derive a test of the nul