Exam Exercises Flashcards
What is the definition of Granger causality?
What is the definition of strong exogeneity?
What is the definition of super exogeneity?
Note: this means even in cases of policy changes, this relationship holds
What is the test statistic for the following regression?
What is a Dynamic Panel Data Model?
By what is the Nickell biased caused?
How is a VMA derived from a VECM? (See example)
- Write down as a VAR model
- Write this down using Lags
- State that A(L)B(L) = I, and then try to derive from there
Note: r = 2 is here full rank
What should be the first step of deriving the CECM when written in Matrix-notation?
We should first make sure that everything is in de regular equation based notation
Just iv
What does invertability of a MA model imply?
When are t-values from Static Least Squares valid?
Only when there is no serial correlation. Static least squares usually suffers from the serial correlation and endogeneity. The limiting distribution of the test statistics depend on nuisance parameters. So the tests are invalid while the estimators are consistent. One can use methods that take into account the serial correlation such at FMLS.
What is endogeneity?
Endogeneity is a situation in econometrics where an explanatory variable (independent variable) in a regression model is correlated with the error term. This violates the assumption of exogeneity, which is critical for the Ordinary Least Squares (OLS) estimator to provide unbiased and consistent estimates.
What does it mean when there are global factors influencing the errors in a factor model?
What is the method proposed by Pesaran (2006)?
