14.384 Time Series Analysis
Fall 2013
Instructor: Anna Mikusheva
TA: Ruitian Lang
Lecture: TR9-10.30 (E51-372)
Announcements
clarification on the exam
In problem 1, everything is assumed to be done conditional on
the initial value $y_0$. In particular, the prior conditional as
well.
Sorry for the initial confusion.
Anna
Sorry for the initial confusion.
Anna
Announced on 11 December 2013 11:13 a.m. by Anna Mikusheva
exam is posted
It is due on Dec. 22.
The exam should be done individually without consulting your classmates.
Best, Anna
The exam should be done individually without consulting your classmates.
Best, Anna
Announced on 06 December 2013 10:39 a.m. by Anna Mikusheva
Problem sets 2 and 3 graded
and will be returned in recitation tomorrow. In PSet 3, Q3 (c), many of you write down some first-order conditions and then solve them by "guess and verify": first assume that the columns of F are eigenvectors and then show that the first-order conditions can be satisfied. This is incorrect, as the optimization problem does not have the desired convexity property (F's satisfying the constraints do not form a convex set), and an F that satisfies FOC is not necessarily an optimal choice. Technically you need to find all F's that satisfy the FOCs, and "guess and verify" does not do that.Announced on 05 December 2013 10:14 p.m. by Ruitian Lang
reminder: there will be a lecture tomorrow
instead of of the recitations
Announced on 21 November 2013 11:50 a.m. by Anna Mikusheva
correction: ps 4 is due on Nov 27
since Nov 28 is thanksgiving
Announced on 16 November 2013 10:31 a.m. by Anna Mikusheva
