Câu hỏi: 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 1: 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
30/08/2021 9 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: 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 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 5: 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 6: 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 hỏi trong đề: Bộ câu hỏi trắc nghiệm môn Kinh tế lượng - Phần 3
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