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: 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
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
30/08/2021 7 Lượt xem
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
30/08/2021 10 Lượt xem
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
30/08/2021 9 Lượt xem
Câu 5: 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 6: 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
30/08/2021 9 Lượt xem
Câu hỏi trong đề: Bộ câu hỏi trắc nghiệm môn Kinh tế lượng - Phần 3
- 42 Lượt thi
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