Câu hỏi: 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?

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30/08/2021
3.2 9 Đánh giá

A. 0

B. 1

C. 2

D. 3

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Câu hỏi khác cùng đề thi
Câu 1: If the number of non-zero eigenvalues of the pi matrix under a Johansen test is 2, this implies that

A. There are 2 linearly independent cointegrating vectors

B. There are at most 2 linearly independent cointegrating vectors

C. There are 3 variables in the system

D. There are at least 2 linearly independent cointegrating vectors

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30/08/2021 7 Lượt xem

Câu 2: 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

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30/08/2021 10 Lượt xem

Câu 4: Which of the following would probably NOT be a potential “cure” for non-normal residuals?

A. Transforming two explanatory variables into a ratio

B. Removing large positive residuals

C. Using a procedure for estimation and inference which did not assume normality

D. Removing large negative residuals

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30/08/2021 9 Lượt xem

Câu 6: 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

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30/08/2021 10 Lượt xem

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