计量经济学 Test bank questions Chapter 4

Multiple Choice Test Bank Questions No Feedback

–

Chapter 4

Correct answers denoted by an asterisk.

1.

A researcher

conducts a Breusch-Godfrey test

for autocorrelation

using 3

lags of the

residuals

in

the

auxiliary

regression.

The

original

regression

contained

5

regressors

including

a

constant

term,

and

was

estimated

using

105

observations.

What

is

the

critical value using a 5% significance level for the LM test based on

T R

2

?

(a)

1.99

(b)

2.70

(c)

* 7.81

(d)

8.56.

2.

Which

of

the

following

would

NOT

be

a

potential

remedy

for

the

problem

of

multicollinearity between regressors?

(a) Removing one of the explanatory variables

(b) * Transforming the data into logarithms

(c) Transforming two of the explanatory variables into ratios

(d) Collecting higher frequency data on all of the variables

3. Which of the

following conditions

must be

fulfilled

for

the

Durbin Watson test

to be

valid?

(i) The regression includes a constant term

(ii) The regressors are non- stochastic

(iii) There are no lags of the dependent variable in the regression

(iv) There are no lags of the independent variables in the regression

(a)* (i), (ii) and (iii) only

(b) (i) and (ii) only

(c) (i), (ii), (iii) and (iv)

(d) (i), (ii), and (iv) only

4. If the residuals of a regression on a large sample are found to be heteroscedastic which

of the following might be a likely consequence?

(i) The coefficient estimates are biased

(ii) The standard error estimates for the slope coefficients may be too small

(iii) Statistical inferences may be wrong

(a) (i) only

(b) * (ii) and (iii) only

(c) (i), (ii) and (iii)

(d) (i) and (ii) only

5.

The

value

of

the

Durbin

Watson

test

statistic

in

a

regression

with

4

regressors

(including

the

constant

term)

estimated

on

100

observations

is

3.6.

What

might

we

suggest from this?

(a) The residuals are positively autocorrelated

(b) * The residuals are negatively autocorrelated

(c) There is no autocorrelation in the residuals

(d) The test statistic has fallen in the intermediate region

6.

Which

of

the

following

is

NOT

a

good

reason

for

including

lagged

variables

in

a

regression?

(a) Slow response of the dependent variable to changes in the independent variables

(b) Over- reactions of the dependent variables

(c) The dependent variable is a centred moving average of the past 4 values of the series

(d) * The residuals of the model appear to be non-normal

7. What is the long run solution to the following dynamic econometric model?

?

y

t

=

?

1

+

?

2

?

X

2

t

+

?

3

?

X

3

t

+ u

t

(a)

y =

?

1

+

?

2

X

2

+

?

3< /p>

X

3

(b)

y

t

=

?

1

+

?

2

X

2

t

+

?

3

X

3

t

(c)

y = - (

?

2

/

?

1

) X

2

- (

?

3

/

?

1

)X

3< /p>

(d) * There is no long run solution to this equation

8.

Which

of

the

following

would

you

expect

to

be

a

problem

associated

with

adding

lagged values of the dependent variable into a regression equation?

(a) * The assumption that the regressors are non-stochastic is violated

(b) A model with many lags may lead to residual non-normality

(c) Adding lags may induce multicollinearity with current values of variables

(d) The standard errors of the coefficients will fall as a result of adding more expla

natory

variables

9.

A

normal

distribution

has

coefficients

of

skewness

and

excess

kurtosis

which

are

respectively

(a) * 0 and 0

(b) 0 and 3

(c) 3 and 0

(d) Will vary from one normal distribution to another

10.

Which

of

the

following

would

probably

NOT

be

a

potential

“cure”

for

non

-normal

residuals?

(a) * Transforming two explanatory variables into a ratio

(b) Removing large positive residuals

(c) Using a procedure for estimation and inference which did not assume normality

(d) Removing large negative residuals

11. What would be the consequences for the OLS estimator if autocorrelation is present

in a regression model but ignored?