The Times Series Regression with Multiple Predictors
A)is the same as the ADL(p,q)with additional predictors and their lags present.
B)gives you more than one prediction.
C)cannot be estimated by OLS due to the presence of multiple lags.
D)requires that the k regressors and the dependent variable have nonzero, finite eighth moments.

Question

Quizplus · Accepted Answer

The Times Series Regression with Multiple Predictors is essentially the same as the Autoregressive Distributed Lag (ADL(p,q)) model with additional predictors and their lags included. Therefore, choice A is the correct answer. Choice B is not completely accurate as a single multiple predictors regression model produces a single prediction. Choice C is incorrect as OLS can be used to estimate time-series regression with multiple predictors. Choice D is incorrect as the requirement for nonzero, finite eighth moments is not necessary for estimating time-series regression with multiple predictors.