Multiple Choice
A vector autoregression
A) is the ADL model with an AR process in the error term.
B) is the same as a univariate autoregression.
C) is a set of k time series regressions, in which the regressors are lagged values of all k series.
D) involves errors that are autocorrelated but can be written in vector format.
Correct Answer:
Verified
Correct Answer:
Verified
Q16: The BIC for the VAR is<br>A)BIC(p)=
Q17: In this case, the Granger causality
Q18: ARCH and GARCH models are estimated using
Q19: You have collected quarterly data for
Q20: Think of at least five examples from
Q22: You have collected quarterly Canadian data
Q23: The dynamic OLS (DOLS)estimator of the cointegrating
Q24: Your textbook states that there "are
Q25: Consider the GARCH(1,1)model <span class="ql-formula"
Q26: What role does the concept of cointegration