Chapter 1 & 2

Question 1

What is a Linear Regression model?

Answer 1

Question 2

What is the Exogeneous Regressor assumption?

Answer 2

Question 3

What is the OLS method? What is the loss-function?

Answer 3

Question 4

Quickly derive the OLS

Answer 4

Question 5

What is the definition of consistency (for OLS)?

Answer 5

Question 6

What is the assumption of correct specification?

Answer 6

Question 7

What is Bernoulli’s Law of Large Numbers?

Answer 7

Question 8

When is OLS consistent?

Name three assumptions

Answer 8

Question 9

What is the definition of Asymptotic Normality for OLS?

Answer 9

Question 10

What are the requirements for Asymptotic Normality for OLS?

Name three assumptions and the consequence

Answer 10

Question 11

What is the definition of strict stationarity?

Answer 11

Question 12

When is an AR(1) model stationary?

Answer 12

Question 13

What is the Birkhoff-Khinchin Theorem?

Answer 13

Question 14

What is the MLE of an AR(1) model? How is it derived? (With sigma = 1)

Answer 14

Question 15

How do you establish asymptotic normality for the AR(1) model?

Answer 15

Question 16

What is the definition of a Martingale Difference Sequence?

Answer 16

Question 17

What is Billingsley’s Central Limit Theorem?

Answer 17

Question 18

How do you apply the CLT and LLN to the AR(1) model? (MLE) [niet super nuttig, maar kan niet verwijderen]

Answer 18

Question 19

What are the four challenges this course deals with?

Answer 19