Q,C,A
"Q: Suppose now that a researcher wishes to use information criteria to determine the optimal lag length for a VAR. 500 observations are available for the bi-variate VAR, and the values of the determinant of the variance-covariance matrix of residuals are 0.0336, 0.0169, 0.0084, and 0.0062 for 1, 2, 3, and 4 lags respectively. What is the optimal model order according to Akaike's information criterion?",(A) 1 lag (B) 2 lags (C) 3 lags (D) 4 lags,C
Consider the following AR(1) model with the disturbances having zero mean and unit variance yt = 0.2 + 0.4 yt-1 + ut The (unconditional) mean of y will be given by,(A) 0.2 (B) 0.4 (C) 0.5 (D) 0.33,D
What would be then consequences for the OLS estimator if heteroscedasticity is present in a regression model but ignored?,"(A) It will be biased (B) It will be inconsistent (C) It will be inefficient (D) All of (a), (b) and (c) will be true.",C
"Suppose that a test statistic has associated with it a p-value of 0.08. Which one of the following statements is true? (i) If the size of the test were exactly 8%, we would be indifferent between rejecting and not rejecting the null hypothesis (ii) The null would be rejected if a 10% size of test were used (iii) The null would not be rejected if a 1% size of test were used (iv) The null would be rejected if a 5% size of test were used.","(A) (ii) and (iv) only (B) (i) and (iii) only (C) (i), (ii), and (iii) only (D) (i), (ii), (iii), and (iv)",C
"For a stationary autoregressive process, shocks will",(A) Eventually die away (B) Persist indefinitely (C) Grow exponentially (D) Never occur,A