Câu hỏi: Which criticism of Dickey-Fuller (DF) -type tests is addressed by stationarity tests, such as the KPSS test?

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30/08/2021
3.6 10 Đánh giá

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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Câu hỏi khác cùng đề thi
Câu 1: 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 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

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30/08/2021 9 Lượt xem

Câu 4: 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

Xem đáp án

30/08/2021 8 Lượt xem

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