Question 1

Which of the following tests can be used to check for cointegration between two series?

Accepted Answer

A) Wald test 
B) Breush-Pagan test 
C) White test 
D) Engle-Granger test 
A) Wald test 
B) Breush-Pagan test 
C) White test 
D) Engle-Granger test

Question 2

Two series are said to be cointegrated if:

Accepted Answer

A) both series are I(1) but a linear combination of them is I(0). 
B) both series are I(0) but a linear combination of them is I(1). 
C) both series have the same set of explanatory variables but a different dependent variable. 
D) both series have the same dependent variable but a different set of explanatory variables. 
A) both series are I(1) but a linear combination of them is I(0). 
B) both series are I(0) but a linear combination of them is I(1). 
C) both series have the same set of explanatory variables but a different dependent variable. 
D) both series have the same dependent variable but a different set of explanatory variables.

Question 3

​The value of the parameter α in the exponential smoothing method lies between _____.

Accepted Answer

A) ​   
B) ​-1 and 1 
C) ​0 and 1 
D) ​0 and   
A) ​   
B) ​-1 and 1 
C) ​0 and 1 
D) ​0 and

Question 4

If ft denotes the forecast of yt+1 made at time t, then the forecast error is given by:

Accepted Answer

A) et+1 = ft/yt+1. 
B) et+1 = yt+1/ft. 
C) et+1 = yt+1 + ft. 
D) et+1 = yt+1 - ft. 
A) et+1 = ft/yt+1. 
B) et+1 = yt+1/ft. 
C) et+1 = yt+1 + ft. 
D) et+1 = yt+1 - ft.

Question 5

Which of the following statements is true of spurious regressions?

Accepted Answer

A) The OLS estimates of the population parameters are efficient and unbiased and the t statistic is valid. 
B) Even if the explanatory variables and the dependent variable are independent times series processes, the R2 can be large. 
C) Spurious regressions are limited to I(0) processes, and are not possible in case of I(1) processes. 
D) Spurious regressions are limited to I(1) processes, and are not possible in case of I(0) processes. 
A) The OLS estimates of the population parameters are efficient and unbiased and the t statistic is valid. 
B) Even if the explanatory variables and the dependent variable are independent times series processes, the R2 can be large. 
C) Spurious regressions are limited to I(0) processes, and are not possible in case of I(1) processes. 
D) Spurious regressions are limited to I(1) processes, and are not possible in case of I(0) processes.

Which of the following tests can be used to check for cointegration between two series?

Two series are said to be cointegrated if:

The value of the parameter α in the exponential smoothing method lies between _____.

If f_t denotes the forecast of y_t+1 made at time t, then the forecast error is given by:

Which of the following statements is true of spurious regressions?

The Nature of Econometrics and Economic Data

The Simple Regression Model

Multiple Regression Analysis Estimation

Multiple Regression Analysis Inference

Multiple Regression Analysis Ols Asymptotics

Multiple Regression Analysis Further Issues

Multiple Regression Analysis With Qualitative Information

Heteroskedasticity

More on Specification and Data Issues

Basic Regression Analysis With Time Series Data

Further Issues in Using Ols With Time Sries Data

Serial Correlation and Heteroskedasticity in Time Series Regressions

Pooling Cross Sections Across Time Simple Panel Data Methods

Advanced Panel Data Methods

Instrumental Variables Estimation and Two Strage Least Squares

Simultaneous Equations Models

Limited Dependent Variable Models and Sample Selection Correctons

Carrying Out an Empirical Project

Filters

Exam 18: Advanced Time Series Topics

Which of the following tests can be used to check for cointegration between two series?

Two series are said to be cointegrated if:

​The value of the parameter α in the exponential smoothing method lies between _____.

If ft denotes the forecast of yt+1 made at time t, then the forecast error is given by:

Which of the following statements is true of spurious regressions?

The Nature of Econometrics and Economic Data

The Simple Regression Model

Multiple Regression Analysis Estimation

Multiple Regression Analysis Inference

Multiple Regression Analysis Ols Asymptotics

Multiple Regression Analysis Further Issues

Multiple Regression Analysis With Qualitative Information

Heteroskedasticity

More on Specification and Data Issues

Basic Regression Analysis With Time Series Data

Further Issues in Using Ols With Time Sries Data

Serial Correlation and Heteroskedasticity in Time Series Regressions

Pooling Cross Sections Across Time Simple Panel Data Methods

Advanced Panel Data Methods

Instrumental Variables Estimation and Two Strage Least Squares

Simultaneous Equations Models

Limited Dependent Variable Models and Sample Selection Correctons

Carrying Out an Empirical Project

Filters

The value of the parameter α in the exponential smoothing method lies between _____.

If f_t denotes the forecast of y_t+1 made at time t, then the forecast error is given by: