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Quiz 1: Introduction12 Questions

Quiz 2: Mathematical and Statistical Foundations9 Questions

Quiz 3: A Brief Overview of the Classical Linear Regression Model28 Questions

Quiz 4: Further Development and Analysis of the Classical Linear Regression Model25 Questions

Quiz 5: Classical Linear Regression Model Assumptions and Diagnostic Tests20 Questions

Quiz 6: Univariate Time Series Modelling and Forecasting29 Questions

Quiz 7: Multivariate Models30 Questions

Quiz 8: Modelling Long-Run Relationships in Finance18 Questions

Quiz 9: Modelling Volatility and Correlation22 Questions

Quiz 10: Switching Models19 Questions

Quiz 11: Panel Data and Limited Dependent Variable Models12 Questions

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Questions Type

Which of the following are problems associated with the Engle-Granger approach to modelling using cointegrated data?
(I) The coefficients in the cointegrating relationship are hard to calculate
(ii) This method requires the researcher to assume that one variable is the dependent variable and the others are independent variables
(iii) The Engle-Granger technique can only detect one cointegrating relationship
(iv) Engle-Granger does not allow the testing of hypotheses involving the actual cointegrating relationship.

(Multiple Choice)

Answer:

B

Which criticism of Dickey-Fuller (DF) -type tests is addressed by stationarity tests, such as the KPSS test?

(Multiple Choice)

Answer:

A

To induce stationarity in a deterministic trend-stationary process

(Multiple Choice)

Answer:

A

Consider the following vector error correction (VECM) model: y_{t} = y_{t-}_{5} + _{1}y_{t-}_{1} + _{2}y_{t-}_{2} + _{3}y_{t-}_{3} + _{4}y_{t-}_{4} + u_{t}
Where y_{t} is a k 1 vector of variables, and u_{t} is a k 1 vector of disturbances.
Which of the following statements is true of the VECM?

(Multiple Choice)

Assuming the researcher in question 19 would like to run an augmented Dickey-Fuller test instead. What is the appropriate regression she would have to run and the null hypothesis of the test?

(Multiple Choice)

If the number of non-zero eigenvalues of the pi matrix under a Johansen test is 2, this implies that

(Multiple Choice)

If a Johansen "max" test for a null hypothesis of 1 cointegrating vectors is applied to a system containing 4 variables is conducted, which eigenvalues would be used in the test?

(Multiple Choice)

Which one of the following best describes most series of asset prices?

(Multiple Choice)

Which of the following are probably valid criticisms of the Dickey Fuller methodology?
(I) The tests have a unit root under the null hypothesis and this may not be rejected due to insufficient information in the sample
(ii) the tests are poor at detecting a stationary process with a unit root close to the non-stationary boundary
(iii) the tests are highly complex to calculate in practice
(iv) the tests have low power in small samples

(Multiple Choice)

Which of the following are consequences of using non-stationary data in regressions?
(I) Shocks will be persistent
(II) It can lead to spurious regressions
(III) t-ratios will not follow a t-distribution
(IV) F-Statistic will not follow an F-distribution

(Multiple Choice)

A researcher would like to test for a unit root in a series. She runs the regression . What should her null hypothesis be assuming that she adopts the Dickey-Fuller test approach?

(Multiple Choice)

Consider the testing of hypotheses concerning the cointegrating vector(s) under the Johansen approach. Which of the following statements is correct?

(Multiple Choice)

If there are three variables that are being tested for cointegration, what is the maximum number of linearly independent cointegrating relationships that there could be?

(Multiple Choice)

Consider the following matrix: _{ } What are its characteristic roots?

(Multiple Choice)

Consider the following data generating process for a series y_{t}: Which one of the following most accurately describes the process for y_{t}?

(Multiple Choice)

You have the following data for Johansen's _{max} rank test for cointegration between 4 international equity market indices: How many cointegrating vectors are there?

(Multiple Choice)

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