Câu hỏi: 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 1: 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 2: 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

Câu 3: 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

Câu 4: 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 5: 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 6: 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