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 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 2: 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 3:  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

Câu 4: 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 5: A normal distribution has coefficients of skewness and excess kurtosis which are respectively:

A. 0 and 0

B. 0 and 3

C. 3 and 0

D. Will vary from one normal distribution to another

Câu 6: 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