4 views

Uploaded by silvio de paula

Solution Hayashi Cap 9

- Makeup Test 1 Sol
- Solomon L MS
- MTE-9
- eje 1
- A2 6.3 Pt. 2 Solutions
- Exam Tips Maths Sl
- Gr11,T1,Math HL,P2, 2015(QP)
- Tutorial 03_s.pdf
- Algebra
- Mathematics P1 Feb-March 2010 Eng Memo.pdf
- sba_2013_(unit_2_test_2)-1.pdf
- Lesson plan
- math 1exam-16-may-2013-questions.pdf
- acta matematica
- Chattering
- Is 502 Analisis Matematico III
- MA195J14 LT2 Hyunsang Soliven Soto
- 4037_s14_ms_11.pdf
- lesson plan
- Value-Optimized Solutions, Inc. ("VOS") Launches new Press Release Service World-wide

You are on page 1of 5

1. From the hint, we have

T 2 2 T

1X 1 T 1 0 1 X

t t1 = (t )2 . ()

T t=1 2 T 2 T 2T t=1

Consider

the second term on the RHS of (). Since E(0 / T ) 0 and Var(0 / T ) 0,

0 / T converges in mean square (by Chevychevs LLN), and hence in probability, to 0. So the

second term vanishes (converges in probability to zero) (this can actually be shown directly

from the definition of convergence in probability). Next, consider the expression T / T in the

first term on the RHS of (). It can be written as

T

1 1X

T = (0 + 1 + + T ) = 0 + T t .

m

T T T T t=1

er as

co

As just seen, 0T vanishes. Since t is I(0) satisfying (9.2.1)-(9.2.3), the hypothesis of Proposi-

eH w

tion 6.9 is satisfied (in particular, the absolute summability in the hypothesis of the Proposition

is satisfied because it is implied by the one-summability (9.2.3a)). So

o.

rs e 1X

T

T

t X, X N (0, 1).

ou urc

T t=1 d

where 2 is the long-run variance of t . Regarding the third term on the RHS of (), since

1

PT 2 1

t is ergodic stationary, 2T t=1 (t ) converges in probability to 2 0 . Finally, by Lemma

o

2

2.4(a) we conclude that the RHS of () converges in distribution to 2 X 2 21 0 .

aC s

vi y re

(b) From (a),

1

PT

T t=1 yt yt1

T (b

1) = 1

PT

.

2

t=1 (yt1 )

ed d

T2

Apply Proposition 9.2(d) to the numerator and Proposition 9.2(c) to the denominator.

ar stu

(c) Since {yt } is random walk, 2 = 0 . Just set 2 = 0 in (4) of the question.

(d) First, a proof that b p 0. By the algebra of OLS,

T

1X

is

b =

(yt b yt1 )

T t=1

Th

T

1X

= 1)yt1 )

(yt (b

T t=1

T T

1X 1X

sh

= 1)

yt (b yt1

T t=1 T t=1

T T

!

1X 1 1 1X

= 1)

yt T (b yt1 .

T t=1 T T T t=1

https://www.coursehero.com/file/8818911/analqs-ch9/

PT

The first term after the last equality, T1 t=1 yt , vanishes (converges to zero in proba-

bility) because yt is ergodic stationary and E(yt ) = 0. To show that

the second term

1

after the last equality vanishes, we first note that T T (b 1) vanishes because

PT

1) converges to a random variable by (b). By (6) in the hint, 1T T1 t=1 yt1

T (b

converges to a random variable. Therefore, by Lemma 2.4(b), the whole second term

vanishes.

Now turn to s2 . From the hint,

T T

1 X 2 1X

s2 = b )2

(yt 1)]

[T (b b ) yt1

(yt

T 1 t=1 T 1 T t=1

T

1 2 1 X

+ [T (b

1)] 2 (yt1 )2 . ()

T 1 T t=1

b p 0, it should be easy to show that the first term on the RHS of () converges

Since

to 0 in probability. Regarding the second term, rewrite it as

m

er as

T T

2 1X 2 T 1 1X

co

[T (b

1)] yt yt1 [T (b b

1)] yt1 . ()

T 1 T t=1 T 1 T T t=1

eH w

o.

PT

By Proposition 9.2(b), T1 t=1 yt yt1 converges to a random variable. So does T

rs e

1). Hence the first term of () vanishes. Turning to the second term of (), (6)

(b

ou urc

PT

in the question means 1T T1 t=1 yt1 converges to a random variable. It should now

be routine to show that the whole second term of () vanishes. A similar argument,

this time utilizing Proposition 9.2(a), shows that the third term of () vanishes.

o

aC s

PT1

b 1 yt yt1

vi y re

t = 1 = q t=1

T

.

s qP

T 2

PT

s T12 t=1 (yt1 )2

t=1 (yt1 )

Use Proposition 9.2(c) and (d) with 2 = 0 = 2 and the fact that s is consistent for

ed d

ar stu

(b) From (a), we have

1

PT

t=1 yt yt1

1) =

T (b T

.

is

1

PT 2

T2 t=1 (yt1 )

Th

PT t

t=1 yt1 = 0. So

1

PT

t=1 t t1

1) = T1 P

T (b T

.

( )2

2 t=1 t1

sh

Since {t } is driftless I(1), Proposition 9.2(e) and (f) can be used here.

(c) Just observe that 2 = 0 if {yt } is a random walk with or without drift.

https://www.coursehero.com/file/8818911/analqs-ch9/

4. From the hint,

T T T T

1X 1X 1X 1X

yt1 t = (1) wt1 t + t1 t + (y0 0 ) t . ()

T t=1 T t=1 T t=1 T t=1

Consider first the second term on the RHS of (). Since t1 , which is a function of (t1 , t2 , . . . ),

is independent of t , we have: E(t1 t ) = E(t1 ) E(t ) = 0. Then by the ergodic theorem

PT

this second term vanishes. Regarding the third term of (), T1 t=1 t p 0. So the whole third

term vanishes. Lastly, consider the first term on the RHS of (). Since {wt } is random

walk and

2

1

PT

t = wt , Proposition 9.2(b) with = 0 = implies T t=1 wt1 t d 2 [W (1)2 1].

2 2

5. Comparing Proposition 9.6 and 9.7, the null is the same (that {yt } is zero-mean stationary

AR(p), (L)yt = t , whose MA representation is yt = (L)t with (L) (L)1 ) but

the augmented autoregression in Proposition 9.7 has an intercept. The proof of Proposition

9.7 (for p = 1) makes appropriate changes on the argument developed on pp. 587-590. Let b

and be as defined in the hint. The AT and cT for the present case is

m

" 1

PT PT

#

2 1 1 ()

er as

T2 t=1 (yt1 ) T T t=1 yt1 (yt1 )

AT = 1 1 PT () 1

PT () 2

,

t=1 (yt1 ) yt1 t=1 [(yt1 ) ]

co

T T T

eH w

PT PT

t

" 1

# " 1

#

T t=1 yt1 T t=1 yt1 t

o.

cT = PT ()

= PT ,

1 1 ()

t=1 (yt1 ) t t=1 (yt1 ) t

rs e T T

ou urc

where t is the residual from the regression of t on a constant for t = 1, 2, ..., T .

(1,1) element of AT : Since {yt } is driftless I(1) under the null, Proposition 9.2(c) can

PT

be used to claim that T12 t=1 (yt1 )2 d 2 (W )2 , where 2 = 2 [(1)]2 with 2

R

o

Var(t ).

aC s

PT

(2,2) element of AT : Since (yt1 )() = yt1 T1 t=1 yt1 , this element can be

vi y re

written as !2

T T T

1X () 2 1X 2 1X

[(yt1 ) ] = (yt1 ) yt1 .

T t=1 T t=1 T t=1

ed d

ar stu

in probability to 0 .

Off diagonal elements of AT : it equals

T

" T

# T

! T

!

1 1X () 1 1X 1 1X 1X

(yt1 ) yt1 = (yt1 ) yt1 yt1 yt1 .

is

Th

The term in the square bracket is (9.4.14), which is shown to converge to a random variable

PT

(Review Question 3 of Section 9.4). The next term, 1T T1 t=1 yt1 , converges to a ran-

PT

dom variable by (6) assumed in Analytical Exercise 2(d). The last term, T1 t=1 yt1 ,

sh

Taken together, we have shown that AT is asymptotically diagonal:

R1

2 0 [W (r)]2 dr 0

AT ,

d 0 0

https://www.coursehero.com/file/8818911/analqs-ch9/

so R1 1

2 [W (r)]2 dr 0

(AT )1 0 .

d 0 01

Now turn to cT .

PT

1st element of cT : Recall that yt1 yt1 T1 t=1 yt1 . Combine this with the BN

decomposition yt1 = (1)wt1 + t1 + (y0 0 ) with wt1 1 + + t1 to obtain

T T T

1X 1X 1X

yt1 t = (1) wt1 t + t ,

T t=1 T t=1 T t=1 t1

PT

where wt1 wt1 T1 t=1 wt1 . t1 is defined similarly. Since t1 is independent of

t , the second term on the RHS vanishes. Noting that wt = t and applying Proposition

9.2(d) to the random walk {wt }, we obtain

T 2

1X

[W (1) ]2 [W (0) ]2 1 .

wt1 t

m

T t=1 d 2

er as

Therefore, the 1st element of cT converges in distribution to

co

eH w

1

c1 2 (1)

[W (1) ]2 [W (0) ]2 1 .

2

o.

rs e PT

2nd element of cT : Using the definition (yt1 )() yt1 T1 t=1 yt1 , it should be

ou urc

easy to show that it converges in distribution to

c2 N (0, 0 2 ).

o

Using the results derived so far, the modification to be made on (9.4.20) and (9.4.21) on p.

590 for the present case where the augmented autoregression has an intercept is

aC s

vi y re

2

T (b

1) 1 or 1) DF ,

T (b

2 2 (1)

R

d [W (r)]2 dr d

0

2

T (b1 1 ) N 0, .

ed d

d 0

ar stu

Repeating exactly the same argument that is given in the subsection entitled Deriving Test

2

Statistics on p. 590, we can claim that 2(1) is consistently estimated by 1/(1 ).

b This

completes the proof of claim (9.4.34) of Proposition 9.7.

is

(b) The proof should be straightforward.

Th

7. The one-line proof displayed in the hint is (with i replaced by k to avoid confusion)

X X X

X X X

|j | = k

| k | = k|k | < , ()

sh

j=0 j=0 k=j+1 j=0 k=j+1 k=0

the equalities and inequalities. For this purpose, we reproduce here the facts from calculus

shown on pp. 429-430:

https://www.coursehero.com/file/8818911/analqs-ch9/

P

(i) If {ak } is absolutely summable, then {ak } is summable (i.e., < k=0 ak < ) and

X X

ak |ak |.

k=0 k=0

P

(ii) Consider a sequence with two subscripts, {ajk } (j, k = 0, 1, 2, . . .). Suppose j=0 |ajk | <

P

for each k and let sk j=0 |ajk |. Suppose {sk } is summable. Then

X

X

X X X X

ajk < and ajk = ajk < .

j=0 k=0 j=0 k=0 k=0 j=0

(

k if k j + 1,

ak =

0 otherwise.

m

er as

Then {ak } is absolutely summable because {k } is absolutely summable. So by (i) above, we

have

co

eH w

X X X X X

k = k = ak |ak | = |k |.

k=j+1 k=j+1 k=0 k=0 k=j+1

o.

rs e

Summing over j = 0, 1, 2, ..., n, we obtain

ou urc

X n X n

X X

k |k |.

j=0 k=j+1 j=0 k=j+1

o

If the limit as n of the RHS exists and is finite, then the limit of the LHS exists and

aC s

P in n and if xn A < ,

n

vi y re

then the limit of xn exists and is finite; set xn j=0 | k=j+1 k |). Thus, provided that

P P

j=0 k=j+1 |k | is well-defined, we have

X

X X

X

k |k |.

ed d

j=0 k=j+1 j=0 k=j+1

ar stu

P P

We now show that j=0 k=j+1 |k | is well-defined. In (ii), set ajk as

(

|k | if k j + 1,

is

ajk =

0 otherwise.

Th

P

Then j=0 |ajk | = k |k | < for each k and sk = k |k |. By one-summability of {k }, {sk }

is summable. So the conditions in (ii) are satisfied for this choice of ajk . We therefore conclude

that

X

X X

X X X X

sh

j=0 k=j+1 j=0 k=0 k=0 j=0 k=0

https://www.coursehero.com/file/8818911/analqs-ch9/

- Makeup Test 1 SolUploaded byHussein Jaber
- Solomon L MSUploaded bySachitra Wijethunga
- MTE-9Uploaded byChowdhury Sujay
- eje 1Uploaded byMiguel Zamora
- A2 6.3 Pt. 2 SolutionsUploaded bymrhomolkamath
- Exam Tips Maths SlUploaded byupul85
- Gr11,T1,Math HL,P2, 2015(QP)Uploaded byTheijan Baburaj
- Tutorial 03_s.pdfUploaded byPhuong Le
- AlgebraUploaded bySaurabh Jain
- Mathematics P1 Feb-March 2010 Eng Memo.pdfUploaded byBalkis
- sba_2013_(unit_2_test_2)-1.pdfUploaded byKyle N Samaroo
- Lesson planUploaded byfaridatul syila
- math 1exam-16-may-2013-questions.pdfUploaded byJeremy Oh
- acta matematicaUploaded byChecoz
- ChatteringUploaded byxatata
- Is 502 Analisis Matematico IIIUploaded byTerry Huaman Che
- MA195J14 LT2 Hyunsang Soliven SotoUploaded byRiemann Soliven
- 4037_s14_ms_11.pdfUploaded byAroob Memon
- lesson planUploaded byRosnani Resdi
- Value-Optimized Solutions, Inc. ("VOS") Launches new Press Release Service World-wideUploaded byvosprl
- test1.2012.solnsUploaded byReemALMousawi
- Practice Test 1Uploaded byRedmondWA
- ANPUploaded byRoumaissa Gueddouche
- Sito om alea (2).pdfUploaded byStefano Franceschini
- Mathematics III Jan2003 or 220556Uploaded byNizam Institute of Engineering and Technology Library
- JAHUploaded byKiNah Xp
- PIMRC10_prestUploaded byJun-Bae Seo
- Quiz A(n)Uploaded byHoàng Minh Măng
- PartitionsUploaded byKanishka Dilshan

- optimizationhw3Uploaded bySilvio de Paula
- Hayashi Econometrics Ch6 Sec 6 and 8Uploaded bysilvio de paula
- Advanced Ecoonmetrics III, FinalUploaded bysilvio de paula
- Mixing Linear Algebra With Calculus and Probability Theory HayashiUploaded bysilvio de paula
- Beales methodUploaded byAbani
- Solution Hayashi Cap 5Uploaded bysilvio de paula
- optimizationhw8Uploaded bySilvio de Paula
- rq_ch3Uploaded bysilvio de paula
- Aula Zero PrtUploaded bysilvio de paula
- chi09109_ch13Uploaded byمحمد عبدالرازق عبدالله
- solucao2015Uploaded bySilvio de Paula
- optimizationhw1Uploaded bySilvio de Paula
- Optimization Non-Linear Optimization and Kuhn-TuckerUploaded byAhmed Africa Ahmed
- analqs_ch3.pdfUploaded byJuan Torre Miguel
- Hayashi Econometrics Ch9 Section 4&6Uploaded bysilvio de paula
- Lecture Notes Kuhn Tucker1Uploaded bysilvio de paula
- analqs_ch1Uploaded bySynthia Santana
- Solution Hayashi Cap 4Uploaded bysilvio de paula
- HMM (Hidden Markov Models)Uploaded bysilvio de paula
- Hayashi Econometrics Answers to Selected Review Questions Rq_ch5Uploaded bysilvio de paula
- 00 Lecture Notes KuhntuckerUploaded byhimu6749721
- analqs_ch2Uploaded byJuan Torre Miguel
- Solution Hayashi Cap 9Uploaded bysilvio de paula
- Hayashi Econometrics Ch10 Section 1 & 2 2016Uploaded bysilvio de paula
- Hayashi Econometrics Ch9 Section 1 2 3Uploaded bysilvio de paula
- Chap 4Uploaded bydelustrous
- Solution Hayashi Cap 1Uploaded bysilvio de paula
- Solution Hayashi Cap 1Uploaded bysilvio de paula
- solution hayashi cap 7.pdfUploaded bysilvio de paula
- solution hayashi cap 7.pdfUploaded bysilvio de paula

- rails gis hacks tutorial 170907Uploaded bypius
- Person Re-IdentificationUploaded byHemprasad Badgujar
- Laser Custom RiggingUploaded byDanny Sch
- Intro 2 Molecular Modelling & Molecular MechanicsUploaded byachsanuddin
- Physics Mc Forces Newtons LawsUploaded byT W
- iMananger PRS V100R016 Main Slide for CVM.pdfUploaded byramos_lisandro
- Flexible Rigid PavementsUploaded byShumank Srivastava
- Alarm_description_LTE.xlsxUploaded byDoni Ariyanto
- Master Course GpstrackerreportUploaded bySwapneel Jadhav
- AutoCAD 2013Uploaded bypanosscribd
- CompAir 4-Pages SmartAir MasterUploaded byKaisar Ahmed Bhuyan
- Oracle Apps AOLUploaded byAmit R Tiwari
- Application of SericinUploaded byMoushumi Shrinivasan
- Permutations n CombinationsUploaded byvenugopal
- SAJC BT2 Paper 1 Solutions 2012Uploaded byTurfy Yan
- GraphUploaded byMuhammed Jehangir Khan
- Merkel s Method for Designing Induced Draft Cooling TowerUploaded byIAEME Publication
- FetUploaded bynidhi
- Physics II Problems (91).pdfUploaded byBOSS BOSS
- Microwave experimentUploaded bysachin
- Brochure Ball Mills en 1Uploaded byCharith Koggala Liyanage
- Core Java With SCJP OCJP Notes by DurgaUploaded bymuralikrishna221
- Oracle Database 11g SQL Fundamentals - Session PlanUploaded byamit_iihtdhn280
- Column flotation simulation and control An overview.pdfUploaded byRodrigoOrmeño
- Prediccion RnaUploaded byGerardo Vera Pacco
- 3300 Setup for Connecting to NuPointUploaded byAmil Alexander
- Cc Ppt It Ct, Pt, CvtUploaded byKALYAN KUMAR
- common rail diesel cummins 5.9l.pdfUploaded bygerardo fazio
- 081207-071709Uploaded byvinoakhil
- Ansys Capabilities 14.5Uploaded byviswanathyakkala