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: A process, xt, which has a constant mean and variance, and zero autocovariance for all non-zero lags is best described as:
A. A white noise process
B. A covariance stationary process
C. An autocorrelated process
D. A moving average process
30/08/2021 7 Lượt xem
Câu 2: 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 3: 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 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 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 6: 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
30/08/2021 10 Lượt xem

Câu hỏi trong đề: Bộ câu hỏi trắc nghiệm môn Kinh tế lượng - Phần 3
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