Transcription of solutions chapter 9 - Universitetet i Oslo
{{id}} {{{paragraph}}}
Example: air traffic controller
solutions chapter 9 - Universitetet i Oslo
200 chapter 9 Exercise solutions chapter 9, Exercise solutions , Principles of Econometrics, 3e 201 EXERCISE From the equation for the AR(1) error model 1ttteev = +, we have ()( )()()211varvarvar2 cov,ttt tteev ev = ++ from which we get 22220eev = + + ()2221ev = and hence 2221ve = To find ()1ttEee we note that 2111ttttteeee v = + Taking expectations, ()()22110ttteEeeEe = + = Similarly, 2122ttt ttteee ee v = + and ()( )()2221210ttt ttteEeeEe eEee = + = = chapter 9, Exercise solutions , Principles of Econometrics, 3e 202 EXERCISE (a) Using hand calculations 121212 TtttTtteere = ==== , 232223 TtttTtteere = ==== (b) (i) The test statistic for testing 01:0H = against the alternative 11:0H is 110 =.
Chapter 9, Exercise Solutions, Principles of Econometrics, 3e 205 EXERCISE 9.5 (a) (i) ˆ 1 eeTT+ =ρ (ii) 2 21 ˆˆ ee eTT T++=ρ=ρ (b) Equation (9.25) gives us the nonlinear least squares estimates of the coefficients
Tags:
Information
Domain:
Source:
Link to this page:
Please notify us if you found a problem with this document: