Thi thử bài tập trắc nghiệm ôn tập Kinh tế lượng online – Đề #5

Câu 1:

A normal distribution has coefficients of skewness and excess kurtosis which are respectively:

Câu 2:

Which of the following would probably NOT be a potential “cure” for non-normal residuals?

Câu 3:

What would be the consequences for the OLS estimator if autocorrelation is present in a regression model but ignored?

Câu 4:

If a residual series is negatively autocorrelated, which one of the following is the most likely value of the Durbin Watson statistic?

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?

Câu 6:

If a regression equation contains an irrelevant variable, the parameter estimates will be

Câu 7:

Which of the following sets of characteristics would usually best describe an autoregressive process of order 3 (i.e. an AR(3))?

Câu 8:

A process, xt, which has a constant mean and variance, and zero autocovariance for all non-zero lags is best described as:

Câu 9:

Which of the following conditions must hold for the autoregressive part of an ARMA model to be stationary?

Câu 10:

If a series, yt, follows a random walk (with no drift), what is the optimal 1-step ahead forecast for y?

Câu 11:

If a series, yt, follows a random walk (with no drift), what is the optimal 1-step ahead forecast for y?

Câu 12:

If a series, yt, follows a random walk (with no drift), what is the optimal 1-step ahead forecast for y?

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?

Câu 14:

Consider the following picture and suggest the model from the following list that best characterises the process:

Câu 15:

What is the optimal three-step ahead forecast from the AR(2) model given in question 14?

Câu 16:

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

Câu 17:

 Which one of the following best describes most series of asset prices?

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?

Câu 19:

If the number of non-zero eigenvalues of the pi matrix under a Johansen test is 2, this implies that

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?