Lecture 8

Question 1

Give an example of economic data where we cannot apply LF CLT and why.

Answer 1

Question 2

State the main assumption in linear processes that allows us to apply LF CLT.

Answer 2

Question 3

Using the main assumption in linear processes, derive the argument in applying the LF CLT.

Answer 3

Question 4

State Bernstein’s Lemma.

Answer 4

Question 5

State the theorem regarding the AN of an MA(m) process.

Answer 5

Question 6

What is gamma j in the theorem regarding the AN of MA(m)? Derive it.

Answer 6

Question 7

Show that the theorem of AN of MA(m) holds in the case of m=1.

Answer 7

Question 8

State formally and visually the main premise of the blocking proof.

Answer 8

Question 9

Write our sequence of interest in the form of the two blocks, and explicitly define the two blocks.

Answer 9

Question 10

Verbally explain and show how writing our sequence of interest in terms of the two blocks helps us.

Answer 10

Question 11

Reach a conclusion regarding the stochastic order of magnitude of the second term (small block series.)

Answer 11

Question 12

Reach a conclusion regarding the stochastic order of magnitude of the first term (big block series.)

Answer 12