Câu hỏi: 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 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 conditions must hold for the autoregressive part of an ARMA model to be stationary?
A. All roots of the characteristic equation must lie outside the unit circle
B. All roots of the characteristic equation must lie inside the unit circle
C. All roots must be smaller than unity
D. At least one of the roots must be bigger than one in absolute value
30/08/2021 7 Lượt xem
Câu 3: 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
30/08/2021 7 Lượt xem
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
30/08/2021 9 Lượt xem
Câu 5: 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 6: 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

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