计量经济学Te bank questions Chapter 5.docVIP

Multiple Choice Test Bank Questions No Feedback – Chapter 5 Correct answers denoted by an asterisk. 1. Consider the following model estimated for a time series yt = 0.3 + 0.5 yt-1 - 0.4 (t-1 + (t where (t is a zero mean error process. What is the (unconditional) mean of the series, yt ? (a) * 0.6 (b) 0.3 (c) 0.0 (d) 0.4 2. Consider the following single exponential smoothing model: St = ( Xt + (1-() St-1 You are given the following data: =0.1, Xt=0.5,St-1=0.2 If we believe that the true DGP can be approximated by the exponential smoothing model, what would be an appropriate 2-step ahead forecast for X? (i.e. a forecast of Xt+2 made at time t) (a) 0.2 (b) * 0.23 (c) 0.5 (d) There is insufficient information given in the question to form more than a one step ahead forecast. 3. Consider the following MA(3) process. yt = 0.1 + 0.4ut-1 + 0.2ut-2 – 0.1ut-3 + ut What is the optimal forecast for yt, 3 steps into the future (i.e. for time t+2 if all information until time t-1 is available), if you have the following data? ut-1 = 0.3; ut-2 = -0.6; ut-3 = -0.3 0.4 0.0 * 0.07 –0.1 4. Which of the following sets of characteristics would usually best describe an autoregressive process of order 3 (i.e. an AR(3))? (a) * A slowly decaying acf, and a pacf with 3 significant spikes (b) A slowly decaying pacf and an acf with 3 significant spikes (c) A slowly decaying acf and pacf (d) An acf and a pacf with 3 significant spikes 5. A process, xt, which has a constant mean and variance, and zero autocovariance for all non-zero lags is best described as (a) * A white noise process (b) A covariance stationary process (c) An autocorrelated process (d) A moving average process 6. Which of the following conditions must hold for the autoregressive part of an ARMA model to be stationary? (a) * All roots of the characteristic equation must lie outside the unit circle (b) All roots of the characteristic equation must lie inside the unit circle (c) All roots must be s