3600
Câu 1: A normal distribution has coefficients of skewness and excess kurtosis which are respectively:
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Câu 2: Which of the following would probably NOT be a potential “cure” for non-normal residuals?
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Câu 3: What would be the consequences for the OLS estimator if autocorrelation is present in a regression model but ignored?
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Câu 4: If a residual series is negatively autocorrelated, which one of the following is the most likely value of the Durbin Watson statistic?
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Câu 5: If the residuals of a model containing lags of the dependent variable are autocorrelated, which one of the following could this lead to?
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Câu 6: If a regression equation contains an irrelevant variable, the parameter estimates will be
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Câu 7: Which of the following sets of characteristics would usually best describe an autoregressive process of order 3 (i.e. an AR(3))?
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Câu 8: A process, xt, which has a constant mean and variance, and zero autocovariance for all non-zero lags is best described as:
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Câu 9: Which of the following conditions must hold for the autoregressive part of an ARMA model to be stationary?
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Câu 10: If a series, yt, follows a random walk (with no drift), what is the optimal 1-step ahead forecast for y?
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Câu 11: If a series, yt, follows a random walk (with no drift), what is the optimal 1-step ahead forecast for y?
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Câu 12: If a series, yt, follows a random walk (with no drift), what is the optimal 1-step ahead forecast for y?
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Câu 13: Consider a series that follows an MA(1) with zero mean and a moving average coefficient of 0.4. What is the value of the autocorrelation function at lag 1?
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Câu 14: Consider the following picture and suggest the model from the following list that best characterises the process:
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Câu 15: What is the optimal three-step ahead forecast from the AR(2) model given in question 14?
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Câu 16: Which criticism of Dickey-Fuller (DF) -type tests is addressed by stationarity tests, such as the KPSS test?
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Câu 17: Which one of the following best describes most series of asset prices?
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Câu 18: If there are three variables that are being tested for cointegration, what is the maximum number of linearly independent cointegrating relationships that there could be?
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Câu 19: If the number of non-zero eigenvalues of the pi matrix under a Johansen test is 2, this implies that
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Câu 20: 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?
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Thi thử bài tập trắc nghiệm ôn tập Kinh tế lượng online - Đề #5
Thi thử bài tập trắc nghiệm ôn tập Kinh tế lượng online – Đề #5 ngay tại ‘Kinh tế lượng’ trên Tracnghiem123 để nhanh chóng và dễ dàng chuẩn bị cho kỳ thi sắp tới.
