Câu hỏi: What would be the consequences for the OLS estimator if autocorrelation is present in a regression model but ignored?
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
Câu 1: 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 2: 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
30/08/2021 8 Lượt xem
Câu 3: Which of the following sets of characteristics would usually best describe an autoregressive process of order 3 (i.e. an AR(3))?
A. A slowly decaying acf, and a pacf with 3 significant spikes
B. A slowly decaying pacf and an acf with 3 significant spikes
C. A slowly decaying acf and pacf
D. An acf and a pacf with 3 significant spikes
30/08/2021 10 Lượt xem
Câu 4: If a regression equation contains an irrelevant variable, the parameter estimates will be
A. Consistent and unbiased but inefficient
B. Consistent and asymptotically efficient but biased
C. Inconsistent
D. Consistent, unbiased and efficient
30/08/2021 7 Lượt xem
Câu 5: 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 6: 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 hỏi trong đề: Bộ câu hỏi trắc nghiệm môn Kinh tế lượng - Phần 3
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