Câu hỏi: If the errors are heteroskedastic, then:

A. the OLS estimator is still BLUE as long as the regressors are nonrandom

B. the usual formula cannot be used for the OLS estimator

C. your model becomes overidentified

D. the OLS estimator is not BLUE

Câu 1: Trong báo cáo kết quả hồi quy có thông tin * D:Heteroscedasticity *CHI-SQ(1) được dùng để kiểm định khuyết tật nào trong các khuyết tật sau:

A. Phương sai sai số thay đổi

B. Sai số ngẫu nhiên không theo quy luật chuẩn

C. Tự tương quan

D. Dạng hàm sai

Câu 2: A VAR with five variables, 4 lags and constant terms for each equation will have a total of:

A. 21 coefficients

B. 100 coefficients

C. 105 coefficients

D. 84 coefficients

Câu 3: The advantage of using heteroskedasticity-robust standard errors is that:

A. that they are easier to compute than the homoskedasticity-only standard errors

B. they produce asymptotically valid inferences even if you do not know the form of the conditional variance function.

C. it makes the OLS estimator BLUE, even in the presence of heteroskedasticity

D. they do not unnecessarily complicate matters, since in real-world applications, the functional form of the conditional variance can easily be found

Câu 4: Under the five extended least squares assumptions, the homoskedasticity-only tdistribution in this chapter:

A. has a Student t distribution with n-2 degrees of freedom

B. has a normal distribution

C. has a Student t distribution with n degrees of freedom

Câu 5: ARCH and GARCH models are estimated using the:

A. OLS estimation method

B. the method of maximum likelihood

C. DOLS estimation method

D. VAR specification

Câu 6: The order of integration:

A. can never be zero

B. is the number of times that the series needs to be differenced for it to be stationary

C. is the value of \({\phi _1}\) in the quasi difference \(\Delta {Y_t} – {\phi _1}{Y_{t – 1}}\)

D. depends on the number of lags in the VAR specification