Y1t= 0+1y2t+2y3t+4X1t+u1t Y2t=B0+B1y1t+B2X1t+B3X2t+B4X3t+u2t Y3t= y0+y1Y1t+u3t E
ID: 3013661 • Letter: Y
Question
Y1t= 0+1y2t+2y3t+4X1t+u1t
Y2t=B0+B1y1t+B2X1t+B3X2t+B4X3t+u2t
Y3t= y0+y1Y1t+u3t
Estimation of equation (2) on its own using OLS would result in Coefficient estimates that are neither unbiased nor consistent. Explain.
-why 2SLS and indirect least squares (ILS) are equivalent for over-identified systems is incorrect. Explain
-Which of the following could be viewed as a disadvantage of the vector autoregressive (VAR) approach to modelling?VARs often contain a large number of terms. Explain
-the following statements is true concerning VAR impulse response functions? Explain
(i) Impulse responses help the researcher to investigate the interactions between the variables in the VAR.
(ii) An impulse response analysis is where we examine the effects of applying unit shocks to all of the variables at the same time.
-In the context of simultaneous equations modelling, which of the following statements is true concerning an exogenous variable? The exogenous variables are assumed to be fixed in repeated samples. Explain
-Comparing the information criteria approach with the likelihood ratio test approach to determining the optimal VAR lag length, which one of the following statements is true? Conducting a likelihood ratio test could lead to a sub-optimal model selection. Explain
-The second stage in two-sage least squares estimation of a simultaneous system would be to Replace the endogenous variables that are on the RHS of the structural equations with their reduced form fitted values. Explain
-What would typically be the shape of the news impact curve for a series that exactly followed a GARCH (1,1) process? It would be symmetric about zero. Explain
-Which of the following are NOT features of an IGARCH(1,1) model? The sum of the coefficients on the lagged squared error and the lagged conditional variance will be unity. Explain
-Which of the following would represent the most appropriate definition for implied volatility? It is the volatility of the underlying asset’s returns implied from the price of a traded option and an option pricing model. Explain.
-Suppose that a researcher wanted to obtain an estimate of realised (“actual”) volatility. Which one of the following is likely to be the most accurate measure of volatility of stock returns for a particular day? The sum of the squares of hourly returns on that day. Explain
-Which one of the following problems in finance could not be usefully addressed by either a univariate or a multivariate GARCH model? Producing forecasts of returns for use in trading models. Explain.
Explanation / Answer
In most of the questions it is said to choose out "of the following" but those items are not given out of which we have to opt. Now what to do ? So this question should be resubmitted in a proper manner.
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