Câu hỏi: If a residual series is negatively autocorrelated, which one of the following is the most likely value of the Durbin Watson statistic?

A. Close to zero

B. Close to two

C. Close to four

D. Close to one

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

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

Câu 3: 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

Câu 4: What is the optimal three-step ahead forecast from the AR(2) model given in question 14?

A. -0.1

B. 0.27

C. -0.34

D. -0.31

Câu 5: 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 6:  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