Week 1 Flashcards
1
Q
What are Multiple Times Series used for?
A
2
Q
What is the GLS?
A
3
Q
What is the GLS estimator?
A
4
Q
What is contemporeaous exogeneity?
A
5
Q
What happens if you contemporeaous exogeneity?
A
6
Q
What is the Lag operator?
A
7
Q
What is the difference operator?
A
8
Q
What is the notation of an AR(1) process?
A
9
Q
When is an AR(1) process stable? Why?
A
10
Q
When is an AR(1) process stable? Why?
A
11
Q
What is weak stability or weak stationarity? Why is this important?
A
12
Q
What is a VAR(1) model?
A
13
Q
When is a VAR(1) model stable?
A
14
Q
What is the mean of a stable VAR(1) process?
A
15
Q
What is the autocovariance of a stable VAR(1) process at lag h? Give the derivation.
A
