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: 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
30/08/2021 9 Lượt xem
Câu 2: 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 8 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 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 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
30/08/2021 7 Lượt xem

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