# S/F Ekonometri Ch 12.1

9 Questions | Attempts: 202
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• 1.
When autocorrelation is present, OLS estimators are biased as well as inefﬁcient.
• A.

True

• B.

False

• 2.
The Durbin–Watson d test assumes that the variance of the error term u is homoscedastic.
• A.

True

• B.

False

• 3.
The ﬁrst-difference transformation to eliminate autocorrelation assumes that the coefﬁcient of autocorrelation ρ is − 1
• A.

True

• B.

False

• 4.
The R^2 values of two models, one involving regression in the ﬁrst-difference form and another in the level form, are not directly comparable.
• A.

True

• B.

False

• 5.
A signiﬁcant Durbin–Watson d does not necessarily mean there is autocorrelation of the ﬁrst order.
• A.

True

• B.

False

• 6.
In the presence of autocorrelation, the conventionally computed variances and standard errors of forecast values are inefﬁcient
• A.

True

• B.

False

• 7.
The exclusion of an important variable(s) from a regression model may give asigniﬁcant d value.
• A.

True

• B.

False

• 8.
In the AR(1) scheme,a test of the hypothesis that ρ = 1 can be made by the Berenblutt–Webb g statistic as well as the Durbin–Watson d statistic.
• A.

True

• B.

False

• 9.
In the regression of the ﬁrst difference of Y on the ﬁrst differences of X , if thereis a constant term and a linear trend term, it means in the original model there isa linear as well as a quadratic trend term
• A.

True

• B.

False

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