Question 1

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

Accepted Answer

A) First differencing eliminates most of the serial correlation. 
B) First differencing eliminates most of the heteroskedastcicty. 
C)  First differencing eliminates most of the multicollinearity. 
D)  First differencing eliminates the possibility of spurious regression. 
A) First differencing eliminates most of the serial correlation. 
B) First differencing eliminates most of the heteroskedastcicty. 
C)  First differencing eliminates most of the multicollinearity. 
D)  First differencing eliminates the possibility of spurious regression.

Question 2

A smaller standard error means:​

Accepted Answer

A) ​a larger t statistic. 
B) ​a smaller t statistic. 
C)  ​a larger F statistic. 
D)  ​a smaller F statistic. 
A) ​a larger t statistic. 
B) ​a smaller t statistic. 
C)  ​a larger F statistic. 
D)  ​a smaller F statistic.

Question 3

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 4

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 5

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

Accepted Answer

A) OLS standard errors account for serial correlation, whereas Prais-Winsten estimations do not. 
B) Prais-Winsten standard errors account for serial correlation, whereas OLS estimations do not. 
C)  Prais-Winsten standard errors account for heteroskedasticity, whereas OLS estimations do not. 
D)  OLS standard errors account for heteroskedasticity, whereas Prais-Winsten estimations do not. 
A) OLS standard errors account for serial correlation, whereas Prais-Winsten estimations do not. 
B) Prais-Winsten standard errors account for serial correlation, whereas OLS estimations do not. 
C)  Prais-Winsten standard errors account for heteroskedasticity, whereas OLS estimations do not. 
D)  OLS standard errors account for heteroskedasticity, whereas Prais-Winsten estimations do not.

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

A smaller standard error means:

The Breusch-Godfrey test statistic follows a:

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

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

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 identifies an advantage of first differencing a time-series?

A smaller standard error means:​

The Breusch-Godfrey test statistic follows a:

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

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

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

A smaller standard error means: