Regression with dependent data Flashcards
1
Q
Strict exogeneity definition
A
- Shocks are uncorrelated to past, present and future values of the regressors.
- Notice shocks can be correlated
2
Q
Predetermined regressors
A
- Shocks are not correlated to past and present values of the regressors
3
Q
Endogeneous regressors
A
- Shocks are correlated to both past and present values of the regressors
4
Q
Consistency of the OLS estimator with dependent data
A
We assume:
- y_t, x_t jointly stationary
- y_t, x_t jointly ergodic
As usual, consistency requires E(x_t,u_t)=0. Then we have consistency por strictly exogeneous or predetermined regressors.
5
Q
Asymptotic variance of OLS
A
Under:
- Covariance stationarity and ergodicity
6
Q
Newey-West formula
A
7
Q
Cointegration definition
A
8
Q
Granger non-causality
A
The second one is the one in the sense of Sims
