Câu hỏi: 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)

Câu 1: 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 2: 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 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:  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 5: 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 6: 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