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Exercicis Extra

econometria --> carrera economia upf

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8 views2 pages

Exercicis Extra

econometria --> carrera economia upf

Uploaded by

jpalanquesd
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as PDF, TXT or read online on Scribd
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Econometrics II.

Fall 2021 Extra problems

When studying econometrics practicing helps. To this extent, here is a list of


extra problems related to the time series part of the course that you can make
to practice for the exam. To ensure that everybody has access to the solutions
most questions are taken from Stock & Watson’s textbook (3rd edition). Simply
google Stock & Watson solution and you will find them. I also added a few
extra exercises for which you can find the solutions directly on the slides. If
you have any questions you can ask them on Friday during office hours
(15:00-16:00, 20.1E-80).

1. Make exercises 14.1 - 14.2 - 14.3 - 14.7 - 14.10 - 14.11 from SW 3rd edition.

2. Make exercises 15.1 - 15.5 - 15.7 - 15.9 from SW 3rd edition.

3. Consider the ADL model

Yt = 5.3 + 0.2Yt−1 + 1.5Xt − 0.1Xt−1 + ũt

where Xt is strictly exogeneous.


(a) Derive the impact effect of X on Y .
(b) Derive the first five dynamic multipliers.
(c) Derive the first five cumulative multipliers.
(d) Derive the long-run cumulative dynamic multiplier.
Hint: the solution follows from dynamic causal effects (lecture 2), slide 12
4. Suppose Yt = β0 + ut , where ut follows a stationary stationary AR(1)
ut = ϕ1 ut−1 + ũt with ũt iid with mean 0 and variance σ 2 .
(a) Show that β0 = µY = E(Yt ).
PT
(b) Let Ȳ1:T = T1 t=1 Yt denote the sample mean of Yt using observa-
tions from t = 1 through t = T . Show that the OLS estimator of β0
satisfies β̂0 = Ȳ1:T .
√
(c) Show that Var( T (β̂0 − β0 )) → σ 2 /(1 − ϕ1 )2
(d) Assume that Ȳ1:T is approximately normally distributed with mean
µY and variance σ 2 /[T (1 − ϕ1 )2 ]. Suppose T = 200 , σ 2 = 7.9,
ϕ1 = 0.3 and the sample mean of Yt is Ȳ1:T = 2.8. Construct a 95%
confidence interval for β0 .

1
Hint: the solution of part (c) follows from the derivation of the HAC
variance.
5. Consider the stationary AR(2) model

Yt = β1 Yt−1 + β2 Yt−2 + ut , t = 1, . . . , T .

where E(ut |Yt−1 , Yt−2 , . . .) = 0.


(a) Compute Var(Yt ) and Cov(Yt , Yt−1 ).
(b) Compute the first autocorrelation of the process Yt .
(c) Compute the cumulative causal effect of Yt−2 on Yt .
(d) Compute the oracle forecast for YT +1 .
(e) How would you estimate the oracle forecast in practice?
(f) How would you compute a 95% percent forecast interval for YT +1
using psuedo out-of-sample forecasting.

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