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: 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

Câu 2:  Which one of the following best describes most series of asset prices?

A. An independently and identically distributed (iid, i.e. “completely random”) process

B. A random walk with drift

C. An explosive process

D. A deterministic trend process

Câu 3: 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

Câu 4: 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

Câu 5: 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 6: If the residuals of a model containing lags of the dependent variable are autocorrelated, which one of the following could this lead to?

A. Biased but consistent coefficient estimates

B. Biased and inconsistent coefficient estimates

C. Unbiased but inconsistent coefficient estimates

D. Unbiased and consistent but inefficient coefficient estimates