Question 1

In presence of serial correlation, the OLS variance formula accurately estimates the true variance of the OLS estimator.

Accepted Answer

A) True 
 B)False

Question 2

Which of the following statements is true?

Accepted Answer

A) When explanatory variables are not strictly exogenous, the t test for serial correlation is valid. 
B) When explanatory variables are not strictly exogenous, the Durbin Watson test for serial correlation is valid. 
C) Breusch-Godfrey test can be used to check for second order serial correlation. 
D) White test can be used to check for second order serial correlation. 
A) When explanatory variables are not strictly exogenous, the t test for serial correlation is valid. 
B) When explanatory variables are not strictly exogenous, the Durbin Watson test for serial correlation is valid. 
C) Breusch-Godfrey test can be used to check for second order serial correlation. 
D) White test can be used to check for second order serial correlation.

Question 3

FGLS estimates are efficient when explanatory variables are not strictly exogenous.

Accepted Answer

A) True 
 B)False

Question 4

The Breusch-Godfrey test statistic follows a:

Accepted Answer

A)    2distribution. 
B) t distribution. 
C) normal distribution. 
D) F distribution. 
A)    2distribution. 
B) t distribution. 
C) normal distribution. 
D) F distribution.

Question 5

Which of the following is a test for serial correlation in the error terms?

Accepted Answer

A) Johansen test 
B) Dickey Fuller test 
C) Durbin Watson test 
D) White test 
A) Johansen test 
B) Dickey Fuller test 
C) Durbin Watson test 
D) White test

Question 6

Which of the following is an example of FGLS estimation?

Accepted Answer

A) Dickey-Fuller estimation 
B) Vector error correction estimation 
C) Prais-Winsten estimation 
D) OLS estimation. 
A) Dickey-Fuller estimation 
B) Vector error correction estimation 
C) Prais-Winsten estimation 
D) OLS estimation.

In presence of serial correlation, the OLS variance formula accurately estimates the true variance of the OLS estimator.

Which of the following statements is true?

FGLS estimates are efficient when explanatory variables are not strictly exogenous.

The Breusch-Godfrey test statistic follows a:

Which of the following is a test for serial correlation in the error terms?

Which of the following is an example of FGLS estimation?

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

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

Advanced Time Series Topics

Carrying Out an Empirical Project

Filters

Exam 12: Serial Correlation and Heteroskedasticity in Time Series Regressions

In presence of serial correlation, the OLS variance formula accurately estimates the true variance of the OLS estimator.

Which of the following statements is true?

FGLS estimates are efficient when explanatory variables are not strictly exogenous.

The Breusch-Godfrey test statistic follows a:

Which of the following is a test for serial correlation in the error terms?

Which of the following is an example of FGLS estimation?

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

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

Advanced Time Series Topics

Carrying Out an Empirical Project

Filters