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: 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 2: 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 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
30/08/2021 10 Lượt xem
Câu 4: 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 5: 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 hỏi trong đề: Bộ câu hỏi trắc nghiệm môn Kinh tế lượng - Phần 3
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