Exam Questions

Question 1

How to calculate the unconditional mean?

Answer 1

Question 2

How to perform a Cholesky decomposition?

Answer 2

Question 3

Answer 3

Question 4

Answer 4

Question 5

VAR(2)

Answer 5

Question 6

What are the matrix components of a VECM model? What is its size?

Answer 6

Question 7

What is the LS estimator of a VECM model (in stacked notation)?

Answer 7

Question 8

Describes a VECM model

Answer 8

Question 9

Answer 9

Question 10

Answer 10

Question 11

Answer 11

Question 12

Answer 12

Question 13

Alleen B

Answer 13

Question 14

How to rewrite a VECM model to a VAR model?

Answer 14

Question 15

How to rewrite a VAR model to a VECM model?

Answer 15

Question 16

Answer 16

Question 17

Is the covariance matrix of beta^hat feasible? If not, how to estimate it?

Answer 17

Question 18

Answer 18

Question 19

Answer this question, while taking in mind that it is about panel data:

Answer 19

Question 20

Answer just c

Answer 20

Question 21

Only answer b

Answer 21

Question 22

Which of the variables in the VECM process stores the stability relation?

Answer 22

beta

Question 23

What do P and M (_G and _0) do to the variables?

Answer 23

PG: Individual means over time
P0: Overall means
MG: Differences between the observations and the individual specific means
M0: a vector of deviations of the data in y from their overall mean

Question 24

What is the companion form?

Answer 24

Question 25

What properties need to be shown for weakly statationarity?

Answer 25

1. Stability
2. Does not depend on initial values

Question 26

On what does calculating the unconditional mean depend?

Answer 26

1. Stability
2. E[u_t] = 0

Question 27

When can the GLS be used for Panel Data? Why?

Answer 27

1. e_it and mu_i are independent

If this holds it makes it more efficient.