12/2/23, 9:51 AM Review Test Submission: Online Quiz 10 (Chapter 11) – ...

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ECON3006 (Vietnam Session 3 2023) Economic and Financial Modelling Assessment 3 (10%) - Online Quizzes
Review Test Submission: Online Quiz 10 (Chapter 11)

Review Test Submission: Online Quiz 10 (Chapter 11)

User Hai Nhu Thai

Subject ECON3006 (Vietnam Session 3 2023) Economic and Financial Modelling
Test Online Quiz 10 (Chapter 11)
Started 2/12/23 1:46 PM
Submitted 2/12/23 1:51 PM
Due Date 4/12/23 3:59 AM
Status Completed
Attempt Score 10 out of 10 points
Time Elapsed 4 minutes out of 20 minutes
Results Displayed All Answers, Submitted Answers, Correct Answers, Incorrectly Answered Questions

Question 1 1 out of 1 points

Which of the following statements is true?

Selected Answer: Breusch-Godfrey test can be used to check for second order serial correlation.

Answers: When explanatory variables are not strictly exogenous, the t test for serial correlation is valid.

When explanatory variables are not strictly exogenous, the Durbin Watson test for serial correlation is valid.

Breusch-Godfrey test can be used to check for second order serial correlation.

White test can be used to check for second order serial correlation.

Question 2 1 out of 1 points

In the presence of serial correlation:

Selected Answer: estimated OLS values are not BLUE.

Answers: estimated standard errors remain valid.

estimated test statistics remain valid.

estimated OLS values are not BLUE.

estimated variance does not differ from the case of no serial correlation.

Question 3 1 out of 1 points

Which of the following is the reason why standard errors measured by OLS differ from standard errors measured through Prais-Winsten
transformation?

Selected Answer: Prais-Winsten standard errors account for serial correlation, whereas OLS estimations do not.

Answers: OLS standard errors account for serial correlation, whereas Prais-Winsten estimations do not.

Prais-Winsten standard errors account for serial correlation, whereas OLS estimations do not.

Prais-Winsten standard errors account for heteroskedasticity, whereas OLS estimations do not.

OLS standard errors account for heteroskedasticity, whereas Prais-Winsten estimations do not.

Question 4 1 out of 1 points

In the presence of heteroskedasticity, the usual OLS estimates of:

Selected Answer: standard errors, t statistics, and F statistics are invalid.

Answers: standard errors are valid, whereas the t statistics and F statistics are invalid.

t statistics are valid, but the standard errors and F statistics are invalid.

F statistics are valid but the standard errors and t statistics are invalid
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12/2/23, 9:51 AM Review Test Submission: Online Quiz 10 (Chapter 11) – ...
F statistics are valid, but the standard errors and t statistics are invalid.

standard errors, t statistics, and F statistics are invalid.

Question 5 1 out of 1 points

When a series is stationary, weakly dependent, and has serial correlation:

Selected Answer:
both the adjusted R2 and R2 are consistent estimators of the population parameter.

Answers:
the adjusted R2 is inconsistent, while R2 is a consistent estimator of the population parameter.

the adjusted R2 is consistent, while R2 is an inconsistent estimator of the population parameter.

both the adjusted R2 and R2 are inconsistent estimators of the population parameter.

both the adjusted R2 and R2 are consistent estimators of the population parameter.

Question 6 1 out of 1 points

Which of the following is a limitation of serial correlation-robust standard errors?

Selected
Answer: The serial correlation-robust standard errors can be poorly behaved when there is substantial serial correlation and the
sample size is small.

Answers: The serial correlation-robust standard errors are smaller than OLS standard errors when there is serial correlation.

The serial correlation-robust standard errors can be poorly behaved when there is substantial serial correlation and the
sample size is small.

The serial correlation-robust standard errors cannot be calculated for autoregressive processes of an order greater than one.

The serial correlation-robust standard errors cannot be calculated after relaxing the assumption of homoskedasticity.

Question 7 1 out of 1 points

For a given significance level, if the calculated value of the Durbin Watson statistic lies between the lower critical value and the upper critical
value, _____.

Selected Answer: the test is inconclusive

Answers: the hypothesis of no serial correlation is accepted

the hypothesis of no serial correlation is rejected

the test is inconclusive

the hypothesis of heteroskedasticity is accepted

Question 8 1 out of 1 points

Which of the following statements is true?

Selected
Answer: The SC-robust standard errors work better after quasi-differencing a time series that is expected to be serially correlated.

Answers: Prais-Winsten and Cochrane-Orcutt transformations are consistent when explanatory variables are not strictly exogenous.

The SC-robust standard errors cannot be estimated in models with lagged dependent variables.

The SC-robust standard errors work better after quasi-differencing a time series that is expected to be serially correlated.

Estimation of SC-robust standard errors is independent of the sample size.

Question 9 1 out of 1 points

Consistency of FGLS requires:

Selected Answer: ut to be uncorrelated with xt-1, xt, and xt+1.

Answers: ut to be uncorrelated with xt-1, xt, and xt+1.

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12/2/23, 9:51 AM Review Test Submission: Online Quiz 10 (Chapter 11) – ...

ut to be uncorrelated with xt and xt+1.

ut to be correlated with xt and xt+1.

ut to be correlated with xt-1, xt, and xt+1.

Question 10 1 out of 1 points

In the time series literature, the serial correlation–robust standard errors are sometimes called:

Selected Answer: heteroskedasticity and autocorrelation consistent standard errors.

Answers: homoskedasticity and autocorrelation inconsistent standard errors.
homoskedasticity and autocorrelation consistent standard errors.

heteroskedasticity and autocorrelation inconsistent standard errors.

heteroskedasticity and autocorrelation consistent standard errors.

Saturday, 2 December 2023 1:51:49 PM AEDT

← OK

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