S/F Ekonometri Ch 12.1
9 Questions
| Attempts: 202
.
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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