Questions from Econometrics

Q: Macroeconomists have also noticed that interest rates change following oil price jumps

Macroeconomists have also noticed that interest rates change following oil price jumps. Let Rt denote the interest rate on three-month Treasury bills (in percentage points at an annual rate). The dist...

Q: Use the probability distribution given in Table 2.2 to compute

Use the probability distribution given in Table 2.2 to compute (a) E(Y) and E(X); (b) 2X and 2Y; and (c) XY and corr (X, Y). Data from Table 2.2:...

Q: Consider three random variables, X, Y, and Z.

Consider three random variables, X, Y, and Z. Suppose that Y takes on k values y1, ……., yk; that X takes on l values x1, …â€&brvb...

Q: Consider two different randomized experiments. In experiment A, oil prices

Consider two different randomized experiments. In experiment A, oil prices are set randomly, and the central bank reacts according to its usual policy rules in response to economic conditions, includi...

Q: Suppose that oil prices are strictly exogenous. Discuss how you could

Suppose that oil prices are strictly exogenous. Discuss how you could improve on the estimates of the dynamic multipliers in Exercise 16.1. Data from Exercise 16.1: Increases in oil prices have been...

Q: Derive Equation (16.7) from Equation (16.

Derive Equation (16.7) from Equation (16.4), and show that 0 = 0, 1 = 1, 2 = 1 + ï...

Q: Consider the regression model Yt = 0 + 1Xt +

Consider the regression model Yt = 0 + 1Xt + ut, where ut follows the stationary AR (1) model ut = 1ut - 1 + u∼t with u&acir...

Q: Consider the regression model Yt = 0 + 1Xt +

Consider the regression model Yt = 0 + 1Xt + ut, where ut follows the stationary AR (1) model ut = 1ut - 1 + u∼t with u∼t i.i.d. with mean 0 and variance 2u and |1| < 1. a. Suppose that Xt is ind...

Q: Consider the model in Exercise 16.7 with Xt = u

Consider the model in Exercise 16.7 with Xt = u∼t + 1. a. Is the OLS estimator of 1 consistent? Explain. b. Explain why the GLS estimator of 1 i...

Q: Consider the constant-term-only regression model Yt = 

Consider the constant-term-only regression model Yt = 0 + ut, where ut follows the stationary AR (1) model ut = 1ut - 1 + u∼t with uâ
...