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?
A. 0
B. 1
C. 2
D. 3
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
30/08/2021 9 Lượt xem
Câu 2: Consider the following picture and suggest the model from the following list that best characterises the process:
A. An AR(1)
B. An AR(2)
C. An ARMA(1,1)
D. An MA(3)
30/08/2021 7 Lượt xem
Câu 3: 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 8 Lượt xem
Câu 4: 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 5: 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 6: 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
30/08/2021 9 Lượt xem

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