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Flashcards in Regression with dependent data Deck (8)
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1
Q

Strict exogeneity definition

A
  • Shocks are uncorrelated to past, present and future values of the regressors.
  • Notice shocks can be correlated
2
Q

Predetermined regressors

A
  • Shocks are not correlated to past and present values of the regressors
3
Q

Endogeneous regressors

A
  • Shocks are correlated to both past and present values of the regressors
4
Q

Consistency of the OLS estimator with dependent data

A

We assume:

  • y_t, x_t jointly stationary
  • y_t, x_t jointly ergodic

As usual, consistency requires E(x_t,u_t)=0. Then we have consistency por strictly exogeneous or predetermined regressors.

5
Q

Asymptotic variance of OLS

A

Under:

  • Covariance stationarity and ergodicity
6
Q

Newey-West formula

A
7
Q

Cointegration definition

A
8
Q

Granger non-causality

A

The second one is the one in the sense of Sims