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: Which of the following would probably NOT be a potential “cure” for non-normal residuals?

A. Transforming two explanatory variables into a ratio

B. Removing large positive residuals

C. Using a procedure for estimation and inference which did not assume normality

D. Removing large negative residuals

Câu 2: 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

Câu 3: 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 4: 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

Câu 5: 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 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