Q: Consider the error correction model in equation (18.37).
Consider the error correction model in equation (18.37). Show that if you add another lag of the error correction term, yt-2 – ï¢xt-2, the equation suffers from perfe...
See AnswerQ: Suppose the process {(xt, yt): t = 0,
Suppose the process {(xt, yt): t = 0, 1, 2, . . .} satisfies the equations yt = xt + ut and (xt = (xt-1 + vt, where E(ut|It-1) = E(vt|It-1) = 0, It-1 contains information on x and y dated at time t...
See AnswerQ: Using the monthly data in VOLAT, the following model was estimated
Using the monthly data in VOLAT, the following model was estimated: where pcip is the percentage change in monthly industrial production, at an annualized rate, and pcsp is the percentage change in th...
See AnswerQ: Let gMt be the annual growth in the money supply and let
Let gMt be the annual growth in the money supply and let unemt be the unemployment rate. Assuming that unemt follows a stable AR(1) process, explain in detail how you would test whether gM Granger cau...
See AnswerQ: Use the data in GPA1 to answer this question. We can
Use the data in GPA1 to answer this question. We can compare multiple regression estimates, where we control for student achievement and background variables, and compare our findings with the differe...
See AnswerQ: Suppose that yt follows the model yt = +
Suppose that yt follows the model yt = + 1zt-1 + ut ut = ut-1 + et E(et|It-1) = 0, where It-1 contains y and z dated at t - 1 and earlier. (i) Show that E(yt11|It) = (1 = ) + yt + 1zt - 1zt-...
See AnswerQ: Let {yt} be an I(1) sequence.
Let {yt} be an I(1) sequence. Suppose that ^n is the one-step-ahead forecast of (yn+1 and let f^n = ^n + yn be the one-step-ahead forecast of yn+1. Explain why the forecast errors for forecasting (y...
See AnswerQ: (i) For a binary response y, let y be
(i) For a binary response y, let y be the proportion of ones in the sample (which is equal to the sample average of the yj). Let q^0 be the percent correctly predicted for the outcome y = 0 and let q^...
See AnswerQ: (i) Suppose in the Tobit model that x1 = log
(i) Suppose in the Tobit model that x1 = log(z1), and this is the only place z1 appears in x. Show that where ï¢1 is the coefficient on log(z1). (ii) If x1 = z1, and x2 = z21, show tha...
See AnswerQ: Let patents be the number of patents applied for by a firm
Let patents be the number of patents applied for by a firm during a given year. Assume that the conditional expectation of patents given sales and RD is; E(patents|sales,RD) = exp[0 + 1log(sales) +...
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