Part 2 Flashcards
Why should we be interested in analyzing unit root/nonstationary processes?
What happens when lambda = 1?
What is a unit root process?
An I(1) process
How can a random walk be rewritten?
Why is a random walk non-stationary?
Why is the sample mean of a random walk diverging?
What does superconsistency imply?
When is a process a linear process? (Give the definition)
What is the Beverage-Nelson decomposition? (definition)
What is the permanent-transitory decomposition (or trend-cycle decomposition)?
What is the concept of Brownian motion?
Show the following:
What is Standard Brownian motion?
Give the definition of Standard Brownian motion?
What is the definition of Multivariate Brownian motion (or a standard Wiener process)?
How can a Wiener process be transformed with matrix P?
What is the Functional Central Limit Theorem?
What is the multivariate central limit theorem?
What is the continuous mapping theorem?
What do the O_p and o_p notation mean?
What are the six rules of the O_p and o_p notation?
What are the two representations for a multivariate root process (of the following process)?
What are the three variances of the multivariate unit root process?
What is the distribution of?
[NOTE: Misschien derivation toevoegen, maar kan me niet voorstellen dat echt boeit]
What is the distribution?
This is often called the Dickey-Fuller distribution
How is the I(1) hypothesis defined? How is this tested?
[Misschien nog derivatie toevoegen]
What is the problem that Phillips-Perron tries to solve?
Tests for I(1)
What should k be for Dicky-Fuller?
What is a spurious regression?
What happens in case of a spurious regression with the parameter estimate beta hat?
What three things do we expect in case of spurious regression and what does actually happen?
What is the idea of cointegration?
What is the definition of cointegration?
What is the variable for cointegrating space? And the cointegrating rank?
What is the Lag representation of an MA model? What is a VAR model?
When is a random matrix A singluar?
r is rank, m is matrix size
What is the Lag notation of a VECM model?
What is the idea behind the Granger representation thm?
What is the simplest method to consistently estimate a unique cointegrating vector?
What is the method of static least squares?
What is the definition of S_t, Lambda, and Sigma?
[VERWIJDER]
[Note: Mogelijk nog dingen van static least squares, maar dat voelt als totaal onnodig]
What is the DOLS estimator?
Why is the DOLS better than SLS? Which problems remain?
What is the ECM approach?
When has x_t to be weakly exogenous? When do elements in x_2, t?
What is the FMOLS method?
What do we need for FMOLS estimation?
What is a residual based test for cointegration (Engle-granger)?
Show that the residual based tests for cointegration are consistant.
What is an assumption of cointegrated systems? (Finite order)
What is an assumption of cointegrated systems? (cointegrated)
What is a VECM model?
What happens to a VECM when r=m, r=0 or any in between?
What is the main idea behind Johansen analysis?
What are the three steps of Johansen analysis?
What are the five steps in ML analysis of a VECM?
What is the main idea behind the trace test?
What is the LR test statistic of the trace test?
How do we select a rank from the trace test?
What is the idea and formula behind the maximum eigenvalue test?
What are the advantages of FIML estimates?
How can we do other test using a VECM?
