Question 1

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

Accepted Answer

A) Johansen test 
B) Dickey-Fuller test 
C)  Breusch-Pagan test 
D)  Durbin's alternative test 
A) Johansen test 
B) Dickey-Fuller test 
C)  Breusch-Pagan test 
D)  Durbin's alternative test C

Question 2

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

Accepted Answer

A) True 
 B)False  True

Question 3

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

Accepted Answer

A) True 
 B)False  False

Question 4

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

Accepted Answer

A) ​homoskedasticity and autocorrelation inconsistent standard errors. 
B) ​homoskedasticity and autocorrelation consistent standard errors. 
C)  ​heteroskedasticity and autocorrelation inconsistent standard errors. 
D)  ​heteroskedasticity and autocorrelation consistent standard errors. 
A) ​homoskedasticity and autocorrelation inconsistent standard errors. 
B) ​homoskedasticity and autocorrelation consistent standard errors. 
C)  ​heteroskedasticity and autocorrelation inconsistent standard errors. 
D)  ​heteroskedasticity and autocorrelation consistent standard errors.

Question 5

The equation u2t  =   0 +   1u2t - 1 + vt is an autoregressive model in _____.

Accepted Answer

A) ut 
B) u2t 
C)  vt 
D)  ut - 1 
A) ut 
B) u2t 
C)  vt 
D)  ut - 1

Question 6

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

Accepted Answer

A) True 
 B)False

Question 7

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

Accepted Answer

A) the adjusted R2 is inconsistent, while R2 is a consistent estimator of the population parameter. 
B) the adjusted R2 is consistent, while R2 is an inconsistent estimator of the population parameter. 
C)  both the adjusted R2 and R2 are inconsistent estimators of the population parameter. 
D)  both the adjusted R2 and R2 are consistent estimators of the population parameter. 
A) the adjusted R2 is inconsistent, while R2 is a consistent estimator of the population parameter. 
B) the adjusted R2 is consistent, while R2 is an inconsistent estimator of the population parameter. 
C)  both the adjusted R2 and R2 are inconsistent estimators of the population parameter. 
D)  both the adjusted R2 and R2 are consistent estimators of the population parameter.

Question 8

In the presence of serial correlation:

Accepted Answer

A) estimated standard errors remain valid. 
B) estimated test statistics remain valid. 
C)  estimated OLS values are not BLUE. 
D)  estimated variance does not differ from the case of no serial correlation. 
A) estimated standard errors remain valid. 
B) estimated test statistics remain valid. 
C)  estimated OLS values are not BLUE. 
D)  estimated variance does not differ from the case of no serial correlation.

Question 9

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

Accepted Answer

A) the feasible generalized least square estimates are unbiased 
B) the feasible generalized least square estimates are BLUE 
C)  the feasible generalized least square estimates are asymptotically more efficient than OLS estimates 
D)  the feasible generalized least square estimates are asymptotically less efficient than OLS estimates 
A) the feasible generalized least square estimates are unbiased 
B) the feasible generalized least square estimates are BLUE 
C)  the feasible generalized least square estimates are asymptotically more efficient than OLS estimates 
D)  the feasible generalized least square estimates are asymptotically less efficient than OLS estimates

Question 10

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

Accepted Answer

A) True 
 B)False

Question 11

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 12

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

Accepted Answer

A) True 
 B)False

Question 13

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

Accepted Answer

A) standard errors are valid, whereas the t statistics and F statistics are invalid. 
B) t statistics are valid, but the standard errors and F statistics are invalid. 
C)  F statistics are valid, but the standard errors and t statistics are invalid. 
D)  standard errors, t statistics, and F statistics are invalid. 
A) standard errors are valid, whereas the t statistics and F statistics are invalid. 
B) t statistics are valid, but the standard errors and F statistics are invalid. 
C)  F statistics are valid, but the standard errors and t statistics are invalid. 
D)  standard errors, t statistics, and F statistics are invalid.

Question 14

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

Accepted Answer

A) True 
 B)False

Question 15

Which of the following statements is true?

Accepted Answer

A) Prais-Winsten and Cochrane-Orcutt transformations are consistent when explanatory variables are not strictly exogenous. 
B) The SC-robust standard errors cannot be estimated in models with lagged dependent variables. 
C)  The SC-robust standard errors work better after quasi-differencing a time series that is expected to be serially correlated. 
D)  Estimation of SC-robust standard errors is independent of the sample size. 
A) Prais-Winsten and Cochrane-Orcutt transformations are consistent when explanatory variables are not strictly exogenous. 
B) The SC-robust standard errors cannot be estimated in models with lagged dependent variables. 
C)  The SC-robust standard errors work better after quasi-differencing a time series that is expected to be serially correlated. 
D)  Estimation of SC-robust standard errors is independent of the sample size.

Question 16

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

Accepted Answer

A) The serial correlation-robust standard errors are smaller than OLS standard errors when there is serial correlation. 
B) The serial correlation-robust standard errors can be poorly behaved when there is substantial serial correlation and the sample size is small. 
C)  The serial correlation-robust standard errors cannot be calculated for autoregressive processes of an order greater than one. 
D)  The serial correlation-robust standard errors cannot be calculated after relaxing the assumption of homoskedasticity. 
A) The serial correlation-robust standard errors are smaller than OLS standard errors when there is serial correlation. 
B) The serial correlation-robust standard errors can be poorly behaved when there is substantial serial correlation and the sample size is small. 
C)  The serial correlation-robust standard errors cannot be calculated for autoregressive processes of an order greater than one. 
D)  The serial correlation-robust standard errors cannot be calculated after relaxing the assumption of homoskedasticity.

Question 17

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, _____.

Accepted Answer

A) the hypothesis of no serial correlation is accepted 
B) the hypothesis of no serial correlation is rejected 
C)  the test is inconclusive 
D)  the hypothesis of heteroskedasticity is accepted 
A) the hypothesis of no serial correlation is accepted 
B) the hypothesis of no serial correlation is rejected 
C)  the test is inconclusive 
D)  the hypothesis of heteroskedasticity is accepted

Question 18

Consistency of FGLS requires:

Accepted Answer

A) ​ut to be uncorrelated with xt-1, xt, and xt+1. 
B) ​ut to be uncorrelated with xt and xt+1. 
C)  ​ut to be correlated with xt and xt+1. 
D)  ​ut to be correlated with xt-1, xt, and xt+1. 
A) ​ut to be uncorrelated with xt-1, xt, and xt+1. 
B) ​ut to be uncorrelated with xt and xt+1. 
C)  ​ut to be correlated with xt and xt+1. 
D)  ​ut to be correlated with xt-1, xt, and xt+1.

Question 19

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.

Question 20

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.

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.

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

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

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

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

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

In the presence of serial correlation:

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

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

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

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

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

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

Which of the following statements is true?

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

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, _____.

Consistency of FGLS requires:

Which of the following is an example of FGLS estimation?

Which of the following statements is true?

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

Heteroskedasticity

More on Specification and Data Problems

Basic Regression Analysis With Time Series Data

Further Issues in Using Ols With Time Series Data

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 12: Serial Correlation and Heteroskedasticity in Time Series Regressions

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.

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

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

The equation u2t = 0 + 1u2t - 1 + vt is an autoregressive model in _____.

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

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

In the presence of serial correlation:

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

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

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

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

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

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

Which of the following statements is true?

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

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, _____.

Consistency of FGLS requires:

Which of the following is an example of FGLS estimation?

Which of the following statements is true?

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

Heteroskedasticity

More on Specification and Data Problems

Basic Regression Analysis With Time Series Data

Further Issues in Using Ols With Time Series Data

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

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

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

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