Multiple Choice Test Bank Questions No Feedback – Chapter 4
Correct answers denoted by an asterisk.
1.A rearcher 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 obrvations. What is the critical value using a 5% significance level for the LM test bad on T R2?
(a)1.99
(b)2.70
(c)* 7.81
(d)8.56.
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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城市的记忆
(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苦瓜图片
(ii) The regressors are non-stochastic流沙河理想
(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 conquence?
(i) The coefficient estimates are biad
(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 obrvations 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 respon 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 ries
(d) * The residuals of the model appear to be non-normal
7. What is the long run solution to the following dynamic econometric model?
yt = 1 + 2 X2t + 3 X3t + ut
(a) y = 1 + 2X2 + 3X3
(b) yt = 1 + 2X2t + 3X3t
(c) y = - ( 2/ 1) X2 - ( 3 / 1)X3
(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 explanatory 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
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(c) Using a procedure for estimation and inference which did not assume normality
(d) Removing large negative residuals
11. What would be the conquences for the OLS estimator if autocorrelation is prent in a regression model but ignored?
(a) It will be biad
(b)It will be inconsistent
(c)* It will be inefficient
(d)All of (a), (b) and (c) will be true.
12. If OLS is ud in the prence of heteroscedasticity, which of the following will be likel
y conquences?
(i)Coefficient estimates may be misleading
(ii)Hypothesis tests could reach the wrong conclusions
(iii)Forecasts made from the model could be biad
(iv)Standard errors may inappropriate
(a) * (ii) and (iv) only
(b)(i) and (iii) only天津有啥好吃的
中山码头(c) (i), (ii), and (iii) only
(d) (i), (ii), (iii), and (iv).
紫荆花都13. If a residual ries is negatively autocorrelated, which one of the following is the most likely value of the Durbin Watson statistic?
