Câu hỏi: 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

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

Câu 2: 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

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

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

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

Câu 6: 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