Câu hỏi: A process, xt, which has a constant mean and variance, and zero autocovariance for all non-zero lags is best described as:

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30/08/2021
3.3 10 Đánh giá

A. A white noise process

B. A covariance stationary process

C. An autocorrelated process

D. A moving average process

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Câu 2: Which of the following would probably NOT be a potential “cure” for non-normal residuals?

A. Transforming two explanatory variables into a ratio

B. Removing large positive residuals

C. Using a procedure for estimation and inference which did not assume normality

D. Removing large negative residuals

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Câu 5: Which criticism of Dickey-Fuller (DF) -type tests is addressed by stationarity tests, such as the KPSS test?

A. DF tests have low power to reject the null hypothesis of a unit root, particularly in small samples

B.  DF tests are always over-sized

C. DF tests do not allow the researcher to test hypotheses about the cointegrating vector

D. DF tests can only find at most one cointegrating relationship

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Câu 6: What would be the consequences for the OLS estimator if autocorrelation is present in a regression model but ignored?

A. It will be biased

B. It will be inconsistent

C. It will be inefficient

D. All of a, b and c will be true

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