+1-415-315-9853

info@mywordsolution.com

## Economics

 Basic Economics Macroeconomics Microeconomics Business Economics Econometrics International Economics Managerial Economics Game Theory Public Economics

Suppose time-series data has been generated according to the following process:

yt =  α+ Φyt-1 + ut,      ut =  εt +   ρεt-1 ,

where εt is independent white noise. Our main interest is consistent estimation of Φ from realizations on yt.

1) Provide conditions for this process to be stationary.

2) From hereonout, assume the process is stationary. Will OLS generally provide you with consistent point estimates of Φ? Can you give conditions under which it will? Provide the asymptotic distribution of OLS under these assumptions.

3) ARMA processes are generally estimated by ML. Do you have enough information to set up the (marginal or conditional) likelihood function?

4) Show that

E[yt-j(yt - α - Φyt-1)] = 0; j ≥  2,

holds.

5) Use the moment conditions under problem 4 to derive a consistent GMM estimator of (α,Φ). Does it require knowledge of the distribution of  εt? Note that we discussed asymptotic properties of GMM estimators assuming a fixed amount of moments.

6) Given your answer to the previous problem, derive a lower bound on the variance of your estimator.

7) Suppose that you are uncertain about the model specification above. Moreover, you fear that ut might have the structure

ut =  εt + ρεt-1 + δt-2;

which is an MA(2) if δ ≠ 0. Can your estimation framework from above (problems 5 and 6) be used to test the null hypothesis that δ = 0? If yes, show how.

8) To convince yourself that your estimator is consistent, try it on simulated data (use Matlab or R, say). You can experiment with the number of moments to investigate the effect on the bias and the coverage of confidence intervals.

Microeconomics, Economics

• Category:- Microeconomics
• Reference No.:- M91932

Have any Question?

## Related Questions in Microeconomics

### Assignment sustainability at top shelf shoesin this course

Assignment: Sustainability at Top Shelf Shoes In this course, you will work independently to analyze sustainability issues for a hypothetical organization. The assignments follow one another so that you can apply the met ...

### Questionsexercisesseminar 11nbsp discuss what you

Questions/Exercises Seminar 1 1.  Discuss what you understand by the following: a) the law of demand b) the conditions of demand c) a demand curve d) a normal good e) an inferior good f) a Giffen good G) the law of suppl ...

### Discussion questionsi need 3 different discussion to be

Discussion Questions I need 3 different Discussion to be answered, by replying to what the student wrote. I'll forward the Discussions as we agree to shake hands. Word counts asnwer question no more than 100 words if mor ...

Instruction: Please answer ALL questions. All questions carry equal marks. Please do not write over 2000 words for the entire assignment. 1. a. Using the graph shown, analyze the effect a \$300 price ceiling would have on ...

### Leasing equipmentfor catherine owens onlybullsuggest one

Leasing Equipment For Catherine Owens Only • Suggest one key economic factor that motivates leasing as an option in acquiring an asset. Explain the potential asymmetries that may exist where leasing may be beneficial to ...

### Assignmentchoose one of the readings from chapters 14 15 or

Assignment Choose one of the readings from chapters 14, 15, or 16 and summarize, explain, and evaluate the main points of the reading in a minimum of 3 paragraphs. Do not simply cut and paste from the reading, but summar ...

### Assignmentin this assignment you must break a norm this

Assignment In this assignment, you must break a norm. This breach must be done in a public forum. You will be writing an essay about your experiment, in which you must be sure to answer all of the questions listed in thi ...

### Assignment economics read the following case study and

ASSIGNMENT: ECONOMICS Read the following case study and answer the given question. THE MACROECONOMICS OF POVERTY REDUCTION: THE CASE STUDY OF BANGLADESH Adapted: Osmani, S.R; Mahmud, W; Sen, B; Dagdeviren, H; and Seth, A ...

### Topic minimum wage workers who actually are minimum wage

Topic: Minimum wage workers _ Who actually are minimum wage workers? _ What are the profites of raising minimum wage? _ What are the con's of raising minimum wage? _ What in your opinion should we do about minimum wage?

### Assignmentquestion a daoism amp confucianism as fisher

Assignment Question A: DAOISM & CONFUCIANISM. As Fisher states in our textbook, "Individuals often harmonize the apparently opposite characteristics of Daoism and Confucianism in their own lives." In what specific ways m ...

• 13,132 Experts

## Looking for Assignment Help?

Start excelling in your Courses, Get help with Assignment

Write us your full requirement for evaluation and you will receive response within 20 minutes turnaround time.

### WalMart Identification of theory and critical discussion

Drawing on the prescribed text and/or relevant academic literature, produce a paper which discusses the nature of group

### Section onea in an atwood machine suppose two objects of

SECTION ONE (a) In an Atwood Machine, suppose two objects of unequal mass are hung vertically over a frictionless

### Part 1you work in hr for a company that operates a factory

Part 1: You work in HR for a company that operates a factory manufacturing fiberglass. There are several hundred empl

### Details on advanced accounting paperthis paper is intended

DETAILS ON ADVANCED ACCOUNTING PAPER This paper is intended for students to apply the theoretical knowledge around ac

### Create a provider database and related reports and queries

Create a provider database and related reports and queries to capture contact information for potential PC component pro