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Economic Theory

by: April Jerde

Economic Theory ECON 712

April Jerde
GPA 3.6


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Class Notes
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This 3 page Class Notes was uploaded by April Jerde on Thursday September 17, 2015. The Class Notes belongs to ECON 712 at University of Wisconsin - Madison taught by Staff in Fall. Since its upload, it has received 16 views. For similar materials see /class/205154/econ-712-university-of-wisconsin-madison in Economcs at University of Wisconsin - Madison.


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Date Created: 09/17/15
1 Econ 712 Midterm Review Outline l am not responsible for material not directly included7 you arel I suggest thinking through the semester in terms of the concepts we have discussed and the types of problems we have seen or could imagine This should help you pinpoint areas where you need to study more 11 Hilbert space theory Lecture notes 1 and 2 o Hilbert space decomposition theorem 0 Hilbert space projection theorem 0 Notions of orthogonality and orthonormal basis 0 Wold theorems and FMA 0 Problems and examples we considered 7 Pythagorean theorem 7 CauchySchwarz 7 Least Squares and optimal linear predictor HWl 7 Projection on K vs Kl regressors HWl 12 MA and AR Representation Lecture notes 3 o Lag operators and lag polynomials o RiezFischer theorem 0 ztransforms o Convolution formula 0 Fundamental moving average and AR representation 0 Problems and examples we considered 7 MA and AR representations of projections HWQ 7 Distinguishing processes zeromean versus constant HWQ 7 Identical autocovariances and variances7 and processes HWQ 7 Flipping roots to get AR when root L l 13 O Univariate Forecasting Lecture notes 4 Annihilation operators W K prediction formulas in MA and AR form HansenSargent formulas Properties of forecasts forecasts orthogonal to forecast errors excess volatil ity tests Problems and examples we considered 7 Simple MA and AR polynomial forecasts 7 Dividend stock pricing model and bubbles and excess holding returns 7 Random walk theory of prices testing HWS 7 Fisher equation HWS 7 Term structure of interest rates HWS 7 Expectations structures examples Cagan model HW4 Spectral Analysis Lecture notes 5 De nition of spectral density Spectral representation theorem Filters Constructing spectral representation from white noise Problems and examples we considered 7 Simple MA and AR polynomial spectral densities 7 Deterministic seasonals and delta functions 7 Examples of lters 7 Spectral densities of ARMA polynomials knowledge of process HWS 7 Money and output variance minimization rules and spectral densities HWS 7 Loss function minimization and spectral densities HWS 7 Term structure of interest rates spectral densities HWS 15 0 Vector AR7s Lecture notes 6 Form of VAR Granger causality Sims causality Econometric exogeneity Variance decompositions Problems and examples we considered 7 Money supply and output VAR7 money supply rules HW6 7 Structural versus fundamental innovations HW6 Cointegration and Unit Roots Lecture notes 7 Characteristics of processes With unit roots Trendcycle decompositions Cointegration Problems and examples we considered 7 Dividend stock pricing model and cointegration Practice Q s 7 Money supply rules and unit rootscointegration Practice Q s 7 Dividend stock pricing model7 bubbles7 and cointegration Practice Q s


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