Câu hỏi: What would be the consequences for the OLS estimator if autocorrelation is present in a regression model but ignored?

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30/08/2021
3.7 10 Đánh giá

A. It will be biased

B. It will be inconsistent

C. It will be inefficient

D. All of a, b and c will be true

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Câu hỏi khác cùng đề thi
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

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30/08/2021 8 Lượt xem

Câu 2:  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

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30/08/2021 9 Lượt xem

Câu 4: 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

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30/08/2021 7 Lượt xem

Câu 6: Which of the following conditions must hold for the autoregressive part of an ARMA model to be stationary?

A. All roots of the characteristic equation must lie outside the unit circle

B. All roots of the characteristic equation must lie inside the unit circle

C. All roots must be smaller than unity

D. At least one of the roots must be bigger than one in absolute value

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30/08/2021 7 Lượt xem

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