Câu hỏi: A normal distribution has coefficients of skewness and excess kurtosis which are respectively:
A. 0 and 0
B. 0 and 3
C. 3 and 0
D. Will vary from one normal distribution to another
Câu 1: If there are three variables that are being tested for cointegration, what is the maximum number of linearly independent cointegrating relationships that there could be?
A. 0
B. 1
C. 2
D. 3
30/08/2021 7 Lượt xem
Câu 2: Which of the following sets of characteristics would usually best describe an autoregressive process of order 3 (i.e. an AR(3))?
A. A slowly decaying acf, and a pacf with 3 significant spikes
B. A slowly decaying pacf and an acf with 3 significant spikes
C. A slowly decaying acf and pacf
D. An acf and a pacf with 3 significant spikes
30/08/2021 10 Lượt xem
Câu 3: Consider the following picture and suggest the model from the following list that best characterises the process:
A. An AR(1)
B. An AR(2)
C. An ARMA(1,1)
D. An MA(3)
30/08/2021 7 Lượt xem
Câu 4: If a Johansen “max” test for a null hypothesis of 1 cointegrating vectors is applied to a system containing 4 variables is conducted, which eigenvalues would be used in the test?
A. The largest 1
B. The Second largest
C. The Second smallest
D. The smallest
30/08/2021 10 Lượt xem
Câu 5: If the number of non-zero eigenvalues of the pi matrix under a Johansen test is 2, this implies that
A. There are 2 linearly independent cointegrating vectors
B. There are at most 2 linearly independent cointegrating vectors
C. There are 3 variables in the system
D. There are at least 2 linearly independent cointegrating vectors
30/08/2021 7 Lượt xem
Câu 6: If a series, yt, follows a random walk (with no drift), what is the optimal 1-step ahead forecast for y?
A. The current value of y
B. Zero
C. The historical unweighted average of y
D. An exponentially weighted average of previous values of y
30/08/2021 8 Lượt xem

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