Week 5 Flashcards
What is the difference between an observation-driven model and a parameter-driven model?
Give the definitions of the observation and updating equation of the SV model.
What are the observation- and parameter-driven models primarily used for in Econometrics?
What are the stocastic properties of the unobserved process f_t?
SV model, name four
Show that the conditional mean of an SV model is zero.
Show that the autocovariance of a SV model is zero.
How do you get the conditional variance of the SV model?
What is the log-normal distribution?
What is the unconditional variance of the SV model?
Show the derivation
What is the kurtosis of a SV model?
Give the derivation
Why is an SV model difficult to estimate?
What is the MSV model?
Name the observation equation
How is Σ in a MSV different than in a GARCH-type model?
What is the updating equation of a MSV?
Name the entire MSV model.
What are the three types of estimation problems?
What are the steps of indirect inference?
There are four
What is the definition of the indirect inference estimator?
What is the asyptotic distribution of the indirect inference estimator?
What are the three (types) of auxiliary statistics of the SV model?
Why is the filtering path estimation useful when estimating a SV model?
If we only want to estimate the (unobserved) time varying volatility.
What are the (five) steps of a filtering paths estimation?
What is the distribution of a filtered path?
