Câu hỏi:

14/10/2024 58

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

A. It will be biased

B. It will be inconsistent

C. It will be inefficient

Đáp án chính xác

D. All of a, b and c will be true

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Câu hỏi trong đề: 150 câu Trắc nghiệm tổng hợp Kinh tế lượng có đáp án !!

Trả lời:

Giải bởi Vietjack

Chọn đáp án: C

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Câu 1:

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

Xem đáp án » 14/10/2024 58

Câu 2:

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

A. Close to zero

B. Close to two

C. Close to four

D. Close to one

Xem đáp án » 14/10/2024 56

Câu 3:

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?

A. 0.4

B. 0.34

C. 1

D. It is not possible to determine the value of the autocovariances without knowing the disturbance variance

Xem đáp án » 14/10/2024 56

Câu 4:

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

Xem đáp án » 14/10/2024 50

Câu 5:

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

Xem đáp án » 14/10/2024 50

Câu 6:

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

Xem đáp án » 14/10/2024 47

Xem thêm các câu hỏi khác »

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

Nhà sách VIETJACK:

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

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

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?

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

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

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

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

Nhà sách VIETJACK:

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

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

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?

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

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

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

Bình luận

🔥 Đề thi HOT:

VIP +3 tháng ( 199,000 VNĐ )

VIP +6 tháng ( 299,000 VNĐ )

VIP +12 tháng ( 499,000 VNĐ )

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