Week 1

Question 1

skip a topic

Answer 1

it looks like the past papers show only 3 out of 4 questions needing to be done. therefore you can skip a topic, maybe w9 (and?) w10

Question 2

Stochastic process

Answer 2

A collection of of RVs is indexed by an ordered set T (time)

Question 3

For stochastic process:
Mean, Var, Autocovar function, Autocorrelation?
And properties of?

Answer 3

Question 4

Strictly stationary stochastic process def

Answer 4

Question 5

Consequences of strict stationarity

Answer 5

K = 1, mean of one point is same as another

K = 2, for pairs of points, autocovariance is constant

Question 6

Implications of consequences of strict stationarity

Answer 6

Question 7

Weak stationarity def

Answer 7

Essentially, γ depends only on lag

Question 8

Properties of weak stationarity

Answer 8

Question 9

Counter example that strict stationary => weakly stationary

Answer 9

Cauchy t dist := iid rv with no variance
Autocovariance not defined ?

Question 10

Relate weak to strict stationarity

Answer 10

Weak stationarity + Gaussian RV => strict stationarity

Question 11

White noise

Answer 11

Question 12

Random walk (+drift)

With properties

Answer 12

Question 13

MA(2)

Answer 13

Question 14

Requirement for (weak) stationarity in AR(1)with intercept

Answer 14

Question 15

Linear process

Answer 15

Question 16

Asymptotic distribution of white noise sample autocorrelation

Answer 16

Question 17

Def time series

Answer 17

Question 18

BLP not on exam

Answer 18

Yay