Question 1

Which of the following is a common way to convert a nonstationary series to a stationary series?

Accepted Answer

A) detrending 
B) autoregression 
C) estimating distributed lags 
D) cointegrating A

Question 2

Which of the following is not a necessary condition for a variable to be stationary?

Accepted Answer

A) E(yt)= $\mu$ 
B) var(yt)= $\sigma$ 2 
C) cov(yt,yt+s)= cov(yt,yt-s)= $\gamma$s 
D) E(yt - yt-1)= $\pi$ D

Question 3

What is the null hypothesis of the Dickey-Fuller Test 1?

Accepted Answer

A) the series is non-stationary over time 
B) the series is stationary 
C) the series is first order integrated 
D) the series are cointegrated A

Question 4

Why should augmented Dickey-Fuller tests always be used when performing econometric analysis?

Accepted Answer

A) the augmented tests allow for more degrees of freedom 
B) so we can test hypotheses using a t-distribution 
C) since no assumptions about the sign of $\rho$ are needed to perform a one-tailed test 
D) to confirm that error terms are not autocorrelated

Question 5

What is a spurious regression?

Accepted Answer

A) statistically significant but meaningless results generated by regression analysis of non-stationary data 
B) the results generated by regression analysis of a station variable dependent on a non-stationary series 
C) regression analysis where endogenous and exogenous variables are reversed 
D) regression analysis that is impossible due to lack of identification

Question 6

What is the difference between the Dickey-Fuller Tests 1,2,and 3?

Accepted Answer

A) they test for stationarity around zero,stationarity around a constant,and stationarity around a trend line,respectively 
B) they test $\rho$1,and $\rho$=1,respectively 
C) they use t, $ \tau $,and F tests,respectively 
D) they test for integration of orders 1,2 and 3 respectively.

Question 7

What does it mean for a series to have a unit root?

Accepted Answer

A) it has a constant mean equal to 1 
B) it has a constant variance equal to 1 
C) it is stationary 
D) it is integrated of order 1

Question 8

The minimum number of times a series must be differenced to generate a stationary series is the

Accepted Answer

A) unit root 
B) order of integration 
C) trend coefficient 
D) spurious regression degree

Question 9

Which non-stationary time series has a constant mean but non-constant variance?

Accepted Answer

A) random walk 
B) AR(1)with linear trent 
C) random walk with drift 
D) deterministic trend

Question 10

A stochastic process is best described as

Accepted Answer

A) deterministic 
B) theoretical 
C) random 
D) mean reverting

Question 11

If series y and z have similar stochastic trends,but are otherwise unrelated,they are said to be

Accepted Answer

A) cointegrated 
B) cotrending 
C) converging 
D) jointly stationary

Question 12

Which of the following is a common way to convert a nonstationary series to a stationary series?

Accepted Answer

A) first differencing 
B) cointegrating 
C) running a spurious regression 
D) estimating distributed lags

Question 13

How do you find the first difference in yt?

Accepted Answer

A) yt- yt-1 
B) dy/ dt 
C) yt - 
D) (yt - 2

Question 14

An ARDL model with nonstationary variables is a(n)

Accepted Answer

A) error correction model 
B) VEC 
C) VAR 
D) variance decomposition

Question 15

What is the null hypothesis of the Dickey-Fuller Test 2?

Accepted Answer

A) the series is non-stationary over time 
B) the series is stationary 
C) the series is first order integrated 
D) the series are cointegrated

Question 16

What is the null hypothesis of the Dickey-Fuller Test 2?

Accepted Answer

A) the series is non-stationary over time 
B) the series is stationary 
C) the series is first order integrated 
D) the series are cointegrated

Exam 13: Regression With Time Series Data: Nonstationary Variables

Which of the following is a common way to convert a nonstationary series to a stationary series?

Which of the following is not a necessary condition for a variable to be stationary?

What is the null hypothesis of the Dickey-Fuller Test 1?

Why should augmented Dickey-Fuller tests always be used when performing econometric analysis?

What is a spurious regression?

What is the difference between the Dickey-Fuller Tests 1,2,and 3?

What does it mean for a series to have a unit root?

The minimum number of times a series must be differenced to generate a stationary series is the

Which non-stationary time series has a constant mean but non-constant variance?

A stochastic process is best described as

If series y and z have similar stochastic trends,but are otherwise unrelated,they are said to be

Which of the following is a common way to convert a nonstationary series to a stationary series?

How do you find the first difference in y_t?

An ARDL model with nonstationary variables is a(n)

What is the null hypothesis of the Dickey-Fuller Test 2?

What is the null hypothesis of the Dickey-Fuller Test 2?