Exam 12: Serial Correlation and Heteroskedasticity in Time Series Regressions

In a model based on a weakly dependent time series with serial correlation and strictly exogenous explanatory variables, _____.

In the presence of heteroskedasticity, the usual OLS estimates of:

Which of the following identifies an advantage of first differencing a time-series?

In the presence of serial correlation:

​In the time series literature, the serial correlation-robust standard errors are sometimes called:

​The serial correlation-robust standard errors are typically larger than the usual OLS standard errors when there is serial correlation.

A smaller standard error means:​

Consistency of feasible generalized least square estimators requires the error term to be correlated with lags of the explanatory variable.

Which of the following is the reason why standard errors measured by OLS differ from standard errors measured through Prais-Winsten transformation?

Which of the following tests can be used to test for heteroskedasticity in a time series?

In time series regressions, it is advisable to check for serial correlation first, before checking for heteroskedasticity.

If there is evidence of serial correlation, then FGLS is preferred over OLS because the FGLS estimator is unbiased.

Which of the following statements is true?

The equation u²t = ₀ + ₁u²t _{- 1} + v_t is an autoregressive model in _____.

The Cochrane-Orcutt and Prais-Winsten methods are iterative methods of feasible generalized least square (FGLS) estimation.

Durbin's alternative test is valid even if the explanatory variables are strictly exogenous.

For a given significance level, if the calculated value of the Durbin Watson statistic lies between the lower critical value and the upper critical value, _____.

When a series is stationary, weakly dependent, and has serial correlation:

Consistency of FGLS requires:

Which of the following is a limitation of serial correlation-robust standard errors?