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Question 1:
a) Explain what is a VAR giving an example both in the form of an equation and matrix. Discuss its benefits and limitations.
b) How can we estimate a VAR involving equations having a contemporaneous feedback term?
c) Distinguish between variance decomposition and impulse response functions.
Question 2:
(a) What are the two types of non-stationarity that exist and show how one of them can be made stationary?
(b) How do we test for a unit root?
(c) What does it mean when two variables are cointegrated?
(d) Using the Engle-Granger approach show how parameters can be estimated in cointegrated systems.
Problem: a) In what circumstances would you apply switching models? b) Using dummy variables for seasonality show how you would test for January effects in financial data?
Which of the following is an example of derived demand?
Suppose you have a model of capital investment by a U.S. rm. Imagine that yt, x1t and x2t are annual measures of investment, lagged pro t, and lagged capital stock, all in real do
Hi, I''m a PhD student in empirical finance I’m trying to conduct bivariate nonlinear conintegration tests using threshold Vector Error Correction (TVEC) methodology (Hansen and Se
goldfield quandt test solution
what is econometrics
Following the general methodology used by econometricians as explained in the session for week 1 (eight steps), explain how you would proceed to determine if a good complies with t
Consider the following short run production function. Q 0 15 35 60 90 115 135 150 16
A firm manufactures and sells a product that has the following demand function: Q = 180 - 4P where P is price, Q is quantity. It also faces the following
Ask question #Minimum unions tie the hand of management and inhibit efficient decision making100 words accepted#
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