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

A. A white noise process

B. A covariance stationary process

C. An autocorrelated process

D. A moving average process

Câu 1: 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

Câu 2: Consider a series that follows an MA(1) with zero mean and a moving average coefficient of 0.4. What is the value of the autocorrelation function at lag 1?

A. 0.4

B. 0.34

C. 1

D. It is not possible to determine the value of the autocovariances without knowing the disturbance variance

Câu 3: 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

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

Câu 5: What is the optimal three-step ahead forecast from the AR(2) model given in question 14?

A. -0.1

B. 0.27

C. -0.34

D. -0.31

Câu 6: If a regression equation contains an irrelevant variable, the parameter estimates will be

A. Consistent and unbiased but inefficient

B. Consistent and asymptotically efficient but biased

C. Inconsistent

D. Consistent, unbiased and efficient