Part 1 Flashcards
What is the conditional mean of a VAR(1) process?
What is the usual representation of a VAR(1) process?
What are the four properties of the innovations epsilon from a VAR(1) process?
What is the conditional variance of epsilon_t of a VAR(1) process?
What is the reduced form and structural form of a VAR model? How can one be written as the other?
First, structural, then reduced
What do we need to ensure that E[x_t] and Var[X_t] behave nicely?
How is the stability condition of a VAR process derived? (Specifically what specific condition do we need to hold for the process to be stable)
What is the scalar equation of a matrix A?
Which condition needs to hold for a VAR(1) model to be stable?
What is the closed form solution of the unconditional expectation of x_t? When does this hold? (Of a VAR model)
Derive the unconditional variance of a VAR model (until the sum of Lambda Omega Lambda)
Derive the autocovariance of a VAR model
What does the following thm imply?
A linear combination of Gaussian variables is also Gaussian
What is the companion form of a VAR(p) process?
What is the characteristic equation of a VAR(p) process?
What is the stability condition of a VAR(p) process?
What is the definition of stationarity in the wide sence and stationarity in the strict sence?
What are the three conditions for stationarity of a VAR process?
Why is the mixing property useful?
What does ergodic mean?
What is the ergodic theorem?
What is the definition of the DGP of the entire economy? What could be said about this theoretical DGP?
What are the three types of variables in the DGP of the entire economy?
What is usually meant by treat z_t as given? What are thre three consequences?
How can the joint density of the entire economy be factorized?
When are variables said to be variation free?
What are the three assumptions that econometric analysis of D_{y|z} rely on?
If the three assumptions that D_{y|z} rely on are fulfilled, which conclusion can be reached?
What are nuisance parameters? What are parameters of intrest?
What is the definition of weakly exogenous?
What is the definition of (non)-granger causality?
What is the difference between real causality and Granger causality?
What is the definition of strong exogeneity?
What is the definition of super exogeneity?
What are the three notions of exogeneity? What do they enable?
What is the idea behind the lag-operator?
What is the one period difference operator? What is the n-period difference operator? What is the nth order-difference operator?
What is the inverting lag polynomial?
Give an example of how to invert lag polynomials:
How can an AR(p) model be written using lag-polynomials?
Write a MA process in terms of a Lag operator.
Write an ARMA process in terms of a Lag operator.
How can autocovariance be analyzed? (name 2)
What is the definition of an Integrated process?
How can a VAR(p) model be written with a Lag operation? How a VARMA?
How can a matrix polynomial be inverted? Why is this usefull?
What are the three methods of writing down the stability conditions?
What is the simplest dynamic model?
What is the definition of filtration?
What is the definition of adaption?
What is the definition of a martingale?
What is the definition of a martingale difference sequence?
What does a mds imply with regarding lagged values?
How can a martingale sequence always be created?
What is the LLN for mds?
What is the clt for mds?
