Exam 8: Heteroskedasticity

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When the error variance differs across the two groups, we can obtain a heteroskedasticity-robust Chow test by including a dummy variable distinguishing the two groups along with interactions between that dummy variable and all other explanatory variables.

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(True/False)

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Question 1

Correct Answer:

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True

The square root of the quantity is called the _____ for .

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(Multiple Choice)

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Question 2

Correct Answer:

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The linear probability model always contains heteroskedasticity when the dependent variable is a binary variable unless all of the slope parameters are zero.

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(True/False)

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Question 3

Correct Answer:

Verified

True

The general form of the t statistic is _____.

(Multiple Choice)

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Question 4

Multicollinearity among the independent variables in a linear regression model causes the heteroskedasticity-robust standard errors to be large.

(True/False)

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Question 5

What will you conclude about a regression model if the Breusch-Pagan test results in a small p-value?

(Multiple Choice)

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Question 6

Which of the following is true of heteroskedasticity?

(Multiple Choice)

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Question 7

The population R-squared is affected when heteroskedasticity is present in Var(u|x₁, …, x_k).

(True/False)

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Question 8

The linear probability model contains heteroskedasticity unless _____.

(Multiple Choice)

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Question 9

The generalized least square estimators for correcting heteroskedasticity are called weighed least squares estimators.

(True/False)

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Question 10

Which of the following is true?

(Multiple Choice)

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Question 11

The generalized least square (GLS) is an efficient procedure that weights each squared residual by the:

(Multiple Choice)

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Question 12

A test for heteroskedasticty can be significant if _____.

(Multiple Choice)

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Question 13

Consider the following regression model: y_i = ₀ + ₁x_i + u_i. If the first four Gauss-Markov assumptions hold true, and the error term contains heteroskedasticity, then _____.

(Multiple Choice)

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Question 14

Consider the following regression equation: . Which of the following indicates a functional form misspecification in E(y|x)?

(Multiple Choice)

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Question 15

If the Breusch-Pagan Test for heteroskedasticity results in a large p-value, the null hypothesis of homoskedasticty is rejected.

(True/False)

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Question 16

Which of the following tests helps in the detection of heteroskedasticity?

(Multiple Choice)

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Question 17

The heteroskedasticity-robust _____ is also called the heteroskedastcity-robust Wald statistic.

(Multiple Choice)

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Question 18

Which of the following is true of the OLS t statistics?

(Multiple Choice)

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Question 19

Weighted least squares estimation is used only when _____.

(Multiple Choice)

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Question 20

Showing 1 - 20 of 25

When the error variance differs across the two groups, we can obtain a heteroskedasticity-robust Chow test by including a dummy variable distinguishing the two groups along with interactions between that dummy variable and all other explanatory variables.

The square root of the quantity is called the _____ for .

The linear probability model always contains heteroskedasticity when the dependent variable is a binary variable unless all of the slope parameters are zero.

The general form of the t statistic is _____.

Multicollinearity among the independent variables in a linear regression model causes the heteroskedasticity-robust standard errors to be large.

What will you conclude about a regression model if the Breusch-Pagan test results in a small p-value?

Which of the following is true of heteroskedasticity?

The population R-squared is affected when heteroskedasticity is present in Var(u|x₁, …, x_k).

The linear probability model contains heteroskedasticity unless _____.

The generalized least square estimators for correcting heteroskedasticity are called weighed least squares estimators.

Which of the following is true?

The generalized least square (GLS) is an efficient procedure that weights each squared residual by the:

A test for heteroskedasticty can be significant if _____.

Consider the following regression model: y_i = ₀ + ₁x_i + u_i. If the first four Gauss-Markov assumptions hold true, and the error term contains heteroskedasticity, then _____.

Consider the following regression equation: . Which of the following indicates a functional form misspecification in E(y|x)?

If the Breusch-Pagan Test for heteroskedasticity results in a large p-value, the null hypothesis of homoskedasticty is rejected.

Which of the following tests helps in the detection of heteroskedasticity?

The heteroskedasticity-robust _____ is also called the heteroskedastcity-robust Wald statistic.

Which of the following is true of the OLS t statistics?

Weighted least squares estimation is used only when _____.

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: Binary or Dummy Variables

More on Specification and Data Problems

Basic Regression Analysis With Time Series Data

Further Issues in Using Ols With Time Series 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 Stage Least Squares

Simultaneous Equations Models

Limited Dependent Variable Models and Sample Selection Corrections

Advanced Time Series Topics

Carrying Out an Empirical Project

Filters

Exam 8: Heteroskedasticity

When the error variance differs across the two groups, we can obtain a heteroskedasticity-robust Chow test by including a dummy variable distinguishing the two groups along with interactions between that dummy variable and all other explanatory variables.​

The square root of the quantity ​is called the _____ for .

The linear probability model always contains heteroskedasticity when the dependent variable is a binary variable unless all of the slope parameters are zero.

The general form of the t statistic is _____.

Multicollinearity among the independent variables in a linear regression model causes the heteroskedasticity-robust standard errors to be large.

What will you conclude about a regression model if the Breusch-Pagan test results in a small p-value?

Which of the following is true of heteroskedasticity?

The population R-squared is affected when heteroskedasticity is present in Var(u|x1, …, xk).​

The linear probability model contains heteroskedasticity unless _____.

The generalized least square estimators for correcting heteroskedasticity are called weighed least squares estimators.

Which of the following is true?​

The generalized least square (GLS) is an efficient procedure that weights each squared residual by the:​

A test for heteroskedasticty can be significant if _____.​

Consider the following regression model: yi = 0 + 1xi + ui. If the first four Gauss-Markov assumptions hold true, and the error term contains heteroskedasticity, then _____.

Consider the following regression equation: . Which of the following indicates a functional form misspecification in E(y|x)?

If the Breusch-Pagan Test for heteroskedasticity results in a large p-value, the null hypothesis of homoskedasticty is rejected.

Which of the following tests helps in the detection of heteroskedasticity?

The heteroskedasticity-robust _____ is also called the heteroskedastcity-robust Wald statistic.

Which of the following is true of the OLS t statistics?

Weighted least squares estimation is used only when _____.

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: Binary or Dummy Variables

More on Specification and Data Problems

Basic Regression Analysis With Time Series Data

Further Issues in Using Ols With Time Series 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 Stage Least Squares

Simultaneous Equations Models

Limited Dependent Variable Models and Sample Selection Corrections

Advanced Time Series Topics

Carrying Out an Empirical Project

Filters

When the error variance differs across the two groups, we can obtain a heteroskedasticity-robust Chow test by including a dummy variable distinguishing the two groups along with interactions between that dummy variable and all other explanatory variables.

The square root of the quantity is called the _____ for .

The population R-squared is affected when heteroskedasticity is present in Var(u|x₁, …, x_k).

Which of the following is true?

The generalized least square (GLS) is an efficient procedure that weights each squared residual by the:

A test for heteroskedasticty can be significant if _____.

Consider the following regression model: y_i = ₀ + ₁x_i + u_i. If the first four Gauss-Markov assumptions hold true, and the error term contains heteroskedasticity, then _____.