Econometrics MCQs

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The Koyck model is an autoregressive model.




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The null hypothesis for a Dickey-Fuller test is that a unit root exists indicating the data series is nonstationary.




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The alternative hypothesis for a Dickey-Fuller test is given as HA: d ≠ 0 (or r ≠ 1).




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In the Dickey-Fuller test, if r = 1 that implies d = 0 and that a unit root exists.




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The validity of the random effects estimator relies on the random effects to be uncorrelated with the regressors.




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Imagine we have twenty years of cost data for each of ten firms. We have all the relevant variables related to costs, except for a variable representi...




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If the marginal impact is a 10 percentage point increase of Y for an additional X when facing "two-to-one odds", the coefficient for X must be 0.45.




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An Andrews test of a logit model gave an c2 of 40 with 100 observations. Given the critical Chi-squared value at the 5% significance level is 18.3, th...




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A Wald test was run to determine whether the estimated optimal time for studying was (statistically) different from 3 hours. The F statistic for the t...




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Impure heteroscedasticity occurs when the nature of the data causes the model error variance to change systematically.




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Impure heteroscedasticity can occur when the regression model is incorrectly specified.




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A constant error variance is one sign of heteroscedasticity.




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The Durbin-Watson test can be used to test for first-order and second-order serial correlation.




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The distributed lag model is more likely to exhibit serial correlation than the autoregressive model.




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Cointegration occurs when the stochastic trend in two or more non-stationary series cancel out in a regression and reveal a nonspurious relationship w...




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Even if your model variables are cointegrated, the model cannot be estimated in its original units if those model variables are nonstationary.




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If your model variables are nonstationary and not cointegrated, the model should be estimated using first differences (ΔYt and ΔXt).




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The least squares dummy variable estimators often yield different regression results (e.g., coeffcients, standard errors, R2) than the fixed effects w...




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The validity of the random effects estimator relies on the random effects to be uncorrelated with the regressors.




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Fixed effects models can solve the omitted variables problem as long as the omitted variable is time-invariant (i.e., is assumed "fixed" over the samp...




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Imagine we have twenty years of cost data for each of ten firms. We have all the relevant variables related to costs, except for a variable representi...




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If Yt and Xt are both I(1)in the regression Yt =β0 +β1Xt +ut and the error term, ût = Ŷi -β0 - β1Xt, is I(0), then Yt and Xt are coi...




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Stationarity is a common cause of the spuriousness among times series variables.




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The null hypothesis for a Dickey-Fuller test is that a unit root exists indicating the data series is nonstationary