Quiz  de Econometría, código 06216. Elaborado por el profesor Julio César Alonso Cifuentes, de la Facultad de Ciencias Administrativas y Económicas – Universidad Icesi. Contiene preguntas y respuestas

Alonso Cifuentes, Julio César

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Universidad Icesi                                                                  Departamento de Economía   Quiz #8 Chapter 11 Group 1 Econometrics 06216  Name: ___________________________________   1. When disturbances are positively serially correlated, it is true that:  a. The size of the t-tests and the F-tests is affected in the bivariate model but not in the multiple regression model, furthermore these tests tend to reject a true null hypothesis.  b. The size of the t-tests and of the F-tests is affected in the bivariate model and in the multiple regression model, furthermore these tests tend to reject a null hypothesis.  c. The size of the F-tests but not of the t-tests is affected in the bivariate model and in the multiple regression model, furthermore these tests do not tend to reject a true null hypothesis.  d. None of the above.  Answer d  2. In the presence of autoregressive disturbances which of the following Gauss-Markov assumptions it is violated:  a.  ( ) ( )cov , 0t t t tEε ε ε ε′ ′= =b. ( ) 0≠tE ε  c.  Where x is an explanatory variable. ( ) xt 2var σε =d. None of the above.  Answer a  3. It can be said that disturbances are covariance stationary, when:  a. tt ′σ  depends only on the distance between the observations in time. b. The disturbances are not heteroskedastic. c. a and b are true.  d. tt ′σ do not depends only on the distance between the observations in time and the disturbances are homoskedastic.  Answer c  4. The Cochrane-Orcutt estimator:  a. Gives an estimate of ρ̂ , and it is important because the data can be transform with this estimated value. b. Is a FGLS. Econometría  jcalonso@icesi.edu.co  Sem01-2007 Universidad Icesi                                                                  Departamento de Economía   c. Can not determine the sign of the serial autocorrelation. d. None of the above.  Answer d  5. Which of the following are not true:   a. When DW tends towards 4 there is strong positive serial correlation.  b. There can be serial correlation different to first order. c. The Durbin-Watson (DW) test is not the only test that is used to check serial correlation. d. When DW tends towards 4 there is strong negative serial correlation.   Answer a  Econometría  jcalonso@icesi.edu.co  Sem01-2007 

Quiz # 8 Chapter 11 Group 3 Econometrics 06216

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Quiz # 8 Chapter 11 Group 3 Econometrics 06216

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