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Thí sinh đọc kỹ đề trước khi làm bài.
Tổng số câu hỏi: 20
<p><strong> Câu 1:</strong></p> <p>A normal distribution has coefficients of skewness and excess kurtosis which are respectively:</p>
<p><strong> Câu 2:</strong></p> <p>Which of the following would probably NOT be a potential “cure” for non-normal residuals?</p>
<p><strong> Câu 3:</strong></p> <p>What would be the consequences for the OLS estimator if autocorrelation is present in a regression model but ignored?</p>
<p><strong> Câu 4:</strong></p> <p>If a residual series is negatively autocorrelated, which one of the following is the most likely value of the Durbin Watson statistic?</p>
<p><strong> Câu 5:</strong></p> <p>If the residuals of a model containing lags of the dependent variable are autocorrelated, which one of the following could this lead to?</p>
<p><strong> Câu 6:</strong></p> <p>If a regression equation contains an irrelevant variable, the parameter estimates will be</p>
<p><strong> Câu 7:</strong></p> <p>Which of the following sets of characteristics would usually best describe an autoregressive process of order 3 (i.e. an AR(3))?</p>
<p><strong> Câu 8:</strong></p> <p>A process, xt, which has a constant mean and variance, and zero autocovariance for all non-zero lags is best described as:</p>
<p><strong> Câu 9:</strong></p> <p>Which of the following conditions must hold for the autoregressive part of an ARMA model to be stationary?</p>
<p><strong> Câu 10:</strong></p> <p>If a series, yt, follows a random walk (with no drift), what is the optimal 1-step ahead forecast for y?</p>
<p><strong> Câu 11:</strong></p> <p>If a series, yt, follows a random walk (with no drift), what is the optimal 1-step ahead forecast for y?</p>
<p><strong> Câu 12:</strong></p> <p>If a series, yt, follows a random walk (with no drift), what is the optimal 1-step ahead forecast for y?</p>
<p><strong> Câu 13:</strong></p> <p>Consider a series that follows an MA(1) with zero mean and a moving average coefficient of 0.4. What is the value of the autocorrelation function at lag 1?</p>
<p><strong> Câu 14:</strong></p> <p>Consider the following picture and suggest the model from the following list that best characterises the process:</p>
<p><strong> Câu 15:</strong></p> <p>What is the optimal three-step ahead forecast from the AR(2) model given in question 14?</p>
<p><strong> Câu 16:</strong></p> <p>Which criticism of Dickey-Fuller (DF) -type tests is addressed by stationarity tests, such as the KPSS test?</p>
<p><strong> Câu 17:</strong></p> <p>&nbsp;Which one of the following best describes most series of asset prices?</p>
<p><strong> Câu 18:</strong></p> <p>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?</p>
<p><strong> Câu 19:</strong></p> <p>If the number of non-zero eigenvalues of the pi matrix under a Johansen test is 2, this implies that</p>
<p><strong> Câu 20:</strong></p> <p>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?</p>