• 検索結果がありません。

• The answer should be written in English or Japanese.

N/A
N/A
Protected

Academic year: 2021

シェア "• The answer should be written in English or Japanese."

Copied!
1
0
0

読み込み中.... (全文を見る)

全文

(1)

2020/07/02

Econometrics I’s Homework

Deadline: July 8, 2020, PM23:59:59

The answer should be written in English or Japanese.

Your name and student ID number should be included in your answer sheet.

Send your answer to the email address: tanizaki@econ.osaka-u.ac.jp.

The subject should be Econome 1 or

計量

1. Otherwise, your mail may go to the trash box.

Suppose that

1

,

2

, · · ·,

T

are mutually independently and normally distributed with E(

t

) = 0 and V(

t

) = σ

2

for all t = 1, 2, · · · , T .

Consider the following regression model:

y

t

= ρy

t−1

+

t

,

t

N (0, σ

2

) Answer the following questions.

(1) Obtain mean and variance of y for y = (y

1

, y

2

, · · · , y

T

)

0

. (2) Using (1), construct the likelihood function of (ρ, σ

2

).

(3) Obtain unconditional mean and variance of y

t

. Obtain conditional mean and variance of y

t

given y

t−1

, y

t−2

, · · ·.

(4) Using (3), construct the likelihood function in the innovation form.

(4) Comparing the two likelihood function, obtain the matrix P such that ω = P P

0

, where Ω denotes

the variance obtained in (2).

参照

関連したドキュメント

Going back to the packing property or more gener- ally to the λ-packing property, it is of interest to answer the following question: Given a graph embedding G and a positive number

In the same vein, we can show that the answer to the question of whether a set of generating cofibrations and trivial cofibrations in a locally presentable category really do generate

If K has positive characteristic, the answer is yes if G is virtually torsion-free elementary amenable, in which case the limit can be identified with the Ore dimension of H n (X ;

Actually it can be seen that all the characterizations of A ≤ ∗ B listed in Theorem 2.1 have singular value analogies in the general case..

過少申告加算税の金額は、税関から調査通知を受けた日の翌日以

Touchdown Total may be applied as a spot spray in peppermint and spearmint. Apply spray-to-wet with hand-held equipment, such as backpack and knapsack sprayers, pump-up

Rave should be applied to actively growing weeds and a nonionic surfactant or crop oil concentrate should be included in the spray mixture as described in the Mixing and

It guides you through the process of connecting your RSL10 Evaluation and Development Board, installing an IDE and the CMSIS-Pack, configuring your environment, and building