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Econometrics 370HW1

This document contains 6 questions about sampling distributions and properties of sample statistics. Question 1 asks about the means, variances, biases, and correlations of sampling distributions for individual observations and the sample mean from a random variable. Question 2 focuses on these properties when the random variable is Gaussian. Question 3 is similar but for non-random samples. Question 4 considers Gaussian distributed non-random samples. Questions 5-6 analyze daily stock return data and sampling distributions of "today's" and "yesterday's" return random variables.

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14 views3 pages

Econometrics 370HW1

This document contains 6 questions about sampling distributions and properties of sample statistics. Question 1 asks about the means, variances, biases, and correlations of sampling distributions for individual observations and the sample mean from a random variable. Question 2 focuses on these properties when the random variable is Gaussian. Question 3 is similar but for non-random samples. Question 4 considers Gaussian distributed non-random samples. Questions 5-6 analyze daily stock return data and sampling distributions of "today's" and "yesterday's" return random variables.

Uploaded by

lia hibiscus
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© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
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NATIONAL CHUNG HSING UNIVERSITY

Introductory Econometrics: Homework 1

Prof. Mei-Yuan Chen Fall 2022

1. Given a random sample, {x1 , x2 , . . . , xn }, from a random variable X with mean µX and variance σX
2 ,

please answer the following questions.

(a) What is the mean of the sampling distribution of sample observation x2 ?


(b) What is the variance of the sampling distribution of sample observation x5 ?
(c) Are x2 and x5 unbiased for µX ?
(d) Are x2 and x5 consistent for µX ?
(e) What is the correlation between the sampling distributions of x2 and x5 ?
∑
(f) What is the mean of the sampling distribution of sample mean x̄n = ni=1 xi /n?
(g) What is the variance of the sampling distribution of sample mean x̄n ?
(h) Is x̄n unbiased and consistent for µX ?
∑
(i) Is the sample variance, s2X = ni=1 (xi − x̄n )2 /(n − 1), unbiased and consistent for σX
2 ?

(j) What is the sampling distribution of x̄n as the sample size n is large enough?
(k) What is the sampling distribution of tx̄n as n is large enough? tx̄n is defined as
x̄n − µX
tx̄n = √ .
s2X
n

2. Given a random sample, {x1 , x2 , . . . , xn }, from a Gaussian distributed random variable X with mean
2 , please answer the following questions.
muX and variance σX

(a) What is the sampling distribution of sample observation x2 ?


(b) What is the sampling distribution of sample observation x5 ?
∑
(c) What is the sampling distribution of sample mean x̄n = ni=1 xi /n?
∑
(d) What is the sampling distribution of sample variance s2X = ni=1 (xi − x̄n )2 /(n − 1)?
(e) What is the sampling distribution of (n − 1)s2X /σX
2 ?

(f) What is the sampling distribution of x̄n as the sample size n is large enough? item What is the
sampling distribution of tx̄n ? tx̄n is defined as
x̄n − µX
tx̄n = √ .
s2X
n

(g) What is the sampling distribution of tx̄n as n is large enough?

1
3. Given a sample, {x1 , x2 , . . . , xn }, from a random variable X with mean muX and variance σX
2 , and is

not random, please answer the following questions.

(a) What is the mean of the sampling distribution of sample observation x2 ?


(b) What is the variance of the sampling distribution of sample observation x5 ?
(c) Are x2 and x5 unbiased for µX ?
(d) Are x2 and x5 consistent for µX ?
∑n
(e) What is the mean of the sampling distribution of sample mean x̄n = i=1 xi /n?
∑
(f) What is the variance of the sampling distribution of sample mean x̄n = ni=1 xi /n?
(g) Is x̄n unbiased and consistent for µX ?
(h) What is the sampling distribution of x̄n as the sample size n is large enough?

4. Given a sample, {x1 , x2 , . . . , xn }, from a Gaussian distributed random variable X with mean µX ,
2 , and is not random; please answer the following questions.
variance σX

(a) What is the sampling distribution of sample observation x2 ?


(b) What is the sampling distribution of sample observation x5 ?
∑
(c) What is the sampling distribution of sample mean x̄n = ni=1 xi /n?
∑
(d) What is the sampling distribution of sample variance s2X = ni=1 (xi − x̄n )2 /(n − 1)?
(e) What is the sampling distribution of (n − 1)s2X /σX
2 ?

(f) What is the sampling distribution of x̄n as the sample size n is large enough?

5. Download the daily close prices of a stock from TEJ and denote as {Pt , t = 1, . . . , T } where t = 1
represents Jan. 1, 2018, and t = T is Aug. 31, 2022. Denote the daily compound returns as

rt = 100 × [ln(Pt ) − ln(Pt−1 )], t = 2, . . . , T.

Suppose the daily compound returns {rt , t = 2, . . . , T } is taken a sample of random variable rX defined
as

rX : Ω = {ω1 , ω2 , . . . , ωN } → {r1 , r2 , . . . , rN }.

Denote µrX and σr2X as the mean and variance of rX . Please answer the following questions with R.

(a) What is the sample mean from {rt , t = 1, . . . , T } for rX ?


(b) What is the sample variance from {rt , t = 1, . . . , T } for rX ?
(c) Is the distribution of rX Gaussian?
(d) Is {rt , t = 1, . . . , T } a random sample?
(e) Is the stock under investigation profitable?

2
6. Suppose {rt , t = 2, . . . , T } is thought of the sample of “today’s” random variable rX , denoted as rX,t .
And then, {rt , t = 0, . . . , T − 1} is thought of the sample of “yesterday’s” random variable rX , denoted
as rX,t−1 . Denote µrX,t and µrX,t as the means, and σr2X,t and σr2X,t as the variances of rX,t and rX,t−1 ,
respectively. Please answer the following questions.

(a) What are the sample means for µrX,t and µrX,t ?
(b) What are the sample variances for σr2 and σr2 ?
X,t X,t

(c) What are the sample observations suggested for the bivariate random variable (rX,t−1 , rX,t )?
(d) What is the sample covariance for Cov(rX,t , rX,t−1 )? Cov(rX,t , rX,t−1 ) is the covariance between
rX,t and rX,t−1 ?

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