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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.
A firm's total revenue (TR) is provided by pq, where p is price and q is quantity sold. Assume the firm is initially selling 1000 units of its product at a
Choose a share from a market such as LSE, NYSE, NASDAQ, etc. [Data sources could be Datastream, Google Finance or others]. Prepare a report which involves the following aspects:
How to calculate the presence of Heteroscedasticity using the Goldfeld-Quandt test
Consider the following short run production function. Q 0 15 35 60 90 115 135 150 16
(b) Suppose that the initial conditions are as follows: y0 = 0 and et = 0 for t= 0. Impose the initial conditions in order to find the general solution.
Problem: a) Using a financial or economics theory, determine a simultaneous structural model and a recursive model, explaining each variable used in the models. b) Using
Question 1: Explain the main drivers of globalisation and ascertain whether they have helped to reduce the gap between the rich and the poor countries. Question 2: Disc
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?
Problem: (a) Differentiate between linear and log-linear model. (b) Distinguish between type I and type II errors. (c) (i) A bulb manufacturer claims that its bulbs last
what are the test for heteroscedasticity?
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