Câu hỏi: What is the optimal three-step ahead forecast from the AR(2) model given in question 14?
A. -0.1
B. 0.27
C. -0.34
D. -0.31
Câu 1: 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
30/08/2021 10 Lượt xem
Câu 2: 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 3: 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
30/08/2021 7 Lượt xem
Câu 4: 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 5: 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 6: 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
30/08/2021 9 Lượt xem
Câu hỏi trong đề: Bộ câu hỏi trắc nghiệm môn Kinh tế lượng - Phần 3
- 42 Lượt thi
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