Econometrics with Fin Apps (Multiple choice) exercises【DOC精选】.docxVIP

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Econometrics with Fin Apps (Multiple choice) exercises【DOC精选】.docx

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Econ G28TMULTIPLE CHOICE TEST2009Note that more than one answer may be correct.If you change your selection please indicate which answer is your final choice.The correct answers are highlighted in red1) Consider the process {xt} generated by, xt = xt-1 + ut, with ut serially independent and E(ut) = 0 and Var(ut) = 1.5, and x0= 0.In the long run, the expected value of xt is:a) 1-1.5tb) 0c) 1d) 1/te) None of theseThe variance of {xt} is:a) 1.5tb) 1c) 1.5/()d) 1/(1-t)e) None of theseiii)Suppose we subtract xt-1 from both sides of {xt} we obtain xt = ut. ThenE(xt) is:a) tb) E(ut)c)xtd) 0e) none of theseiv)and E[xt-E(xt)]2 is:a) tb) -0.5c) 1.5d) 1/() e) none of these2)Consider the general ARMA(p,q) model . Suppose that you are trying to determine the appropriated order to describe some actual data, with 200 observations available. You have the following figures for the log of the estimated residual variance (i.e log(2)) for various candidate modelsMODEL ORDERlog(2)(0,0)0.932(1,0)0.864(0,1)0.902(2,0)0.801(0,2)0.836i)Calculation of the Akaike Information Criterion will select an ARMA model of order:a) (0,0) b) (2,0)c) (0,2) d) (0,1) e) (1,0)ii)The Schwartz Bayesian Criterion will select an ARMA model of ordera) (0,0) b) (2,0)c) (0,2) d) (0,1) e) (1,0)iii)Suppose that regardless of the results above you have fitted an ARMA(1,1) to the data obtaining the following estimates:Suppose that you have data for time to (t-1) i.e. you know that yt-1=3.4, and that . The t, t+1, t+2 forecasts are:a) b) c) d) e) iv) If the actual values for the series turned out to be –0.032, 0.961, 0.203 for t, t+1, t+2, the out of sample mean squared error isa) 1.380b) 1.887c)2.876d) 2.003e) 0.9983)Consider the Dickey-Fuller test.In the context of a simple AR(1) model such as , the Dickey Fuller test is a t-test of:H0: =0 b)H0: =1 c)H0: +=1 d)H0: =1e)None of themii)Assume that we have run an Augmented Dickey-Fuller test, including a constant a trend and 4 lags of first differences (), on the log