S/F Ekonometri Ch 12.1

9 Questions | Total Attempts: 84

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S/F Ekonometri Ch 12.1 - Quiz

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Questions and Answers
  • 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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