Câu hỏi: 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
Câu 1: 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
30/08/2021 9 Lượt xem
Câu 2: A normal distribution has coefficients of skewness and excess kurtosis which are respectively:
A. 0 and 0
B. 0 and 3
C. 3 and 0
D. Will vary from one normal distribution to another
30/08/2021 10 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: 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 5: 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 6: 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 hỏi trong đề: Bộ câu hỏi trắc nghiệm môn Kinh tế lượng - Phần 3
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