# ECON 5420 Study Guide - Final Guide: Cointegration, Autocorrelation, Unit Root

46 views6 pages Exam 1 Econ 5420, Econometrics II, Fall 2017
Section: Name:
1 Multiple Choice
Choose the answer that best answers the question. Each question is worth 3 points.
1. For the time series xt=ρxt1+etto be covariance stationary, what must be true?
(a) ρ= 1
(b) ρ > 1
(c) ρ < 1
(d) None of the above.
2. Given the model yt=α+δ0xt+δ1xt1+δ2xt2+et, which describes the short
run-propensity?
(a) α
(b) α+δ0
(c) δ0
(d) δ1
3. Given ytis I(2), which statement is true?
(a) ∆ytis stationary
(b) yt1is stationary
(c) ytis non-stationary
(d) None of the above
4. If the equation yt=α+βxt+etis estimated with heteroskedasticity, what are
the consequence(s) for ˆ
β:
(a) standard errors are valid, whereas the t statistics and F statistics are invalid.
(b) ˆ
βis biased
(c) ˆ
βis unbiased, but not consistent
(d) standard errors, t statistics, and F statistics are invalid.
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5. Which of the following is required to ﬁnd unbiased estimates of ˆ
β1in the equation:
yt=β0+β1xt+et
(a) E[ut|xt, xt1, xt2, ...] = 0
(b) No serial correlation.
(c) No heteroskedasticity.
(d) All of the above
6. Which of the following will bias ˆ
β1in the equation yt=β0+β1xt+et?
(a) ythas a unit root.
(b) ytand xthave time trends
(c) ytand xthave seasonal trends
(d) All of the above
7. Which of the following describes the critical values for a t-distribution (tc), Dickey
Fuller (DFc) distribution, and Engle-Granger test for cointegration (EGc)?
(a) |tc|<|DFc|=|EGc|
(b) |tc|>|DFc|=|EGc|
(c) |tc|>|DFc|>|EGc|
(d) |tc|<|DFc|<|EGc|
8. Which of the following can correct for both serial correlation and heteroskedas-
ticity?
(a) quasi-diﬀerencing
(b) Cochrane-Orcutt estimation
(c) Newey West HAC standard errors
(d) Durbin-Watson Test
9. Which is true of a ﬁnite distributed lag model?
(a) The model is dynamic.
(b) The model is static.
(c) All variables are from the same time period.
(d) All of the above
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