计量经济学TestbankquestionsChapter5.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 smaller than unity (d) At l