When a set of variables with exact co linearity is included in an econometric model
coefficient estimates are
a.) undefined
b.) unbiased
c.) biased upward
d.) biased, but the direction is unclear
When an exogenous instrument is used, IV estimators are
a.) consistent and approximately normally distributed in large samples
b.) unbiased and BLUE in all sample sizes
c.) consistent if z is normally distributed
d.) normally distributed in all sample sizes and consistent in large sample sizes
When estimating the structural parameters of simultaneous equation models, how do
least squares estimates, compare to the true value of ï€ ?
a.) <
b.) >
c.) =
d.) The direction of the bias depends on the sample correlation.
Why is it best to use specialized software to estimate 2SLS?
a.) specialized t-values are needed for inference and hypothesis testing
b.) the ï´ï€ distribution is not widely available otherwise
c.) it is algebraically difficult to find structural parameter estimates from reduced form
estimates, so the software needs to use specialized algorithms when algebra does not
work
d.) it is too easy to make a data handling mistake when capturing predicted values to
use as regressors in the second stage
) Rejecting a true null hypothesis
a.) is a Type I error.
b.) is a Type II error.
c.) should not happen if a valid statistical test is used.
d.) depends on the size of the estimation sample.
In a GARCH(p,q) model, what does the indicate?
a.) the number of lagged h terms
b.) the number of lagged e2 terms
c.) the number of endogenous variables in a system
d.) the number of excluded exogenous variables that can be instruments
What does it mean for a panel data set to be balanced?
a.) males and females are equally represented in the sample
b.) the observations are equally split before and after the event being studied
c.) the number of observations in the treatment and control group are equal
d.) each unit of observation is observed for the same number of time periods
If you perform a Hausman test on a random effects model and have a test statistic that
exceeds your critical value, what should you conclude?
a.) all of the regressors in the RE model are exogenous
b.) none of the common RE and FE coefficients are significantly different
c.) at least one of the coefficients is significantly different from zero
d.) at least one of the regressors in the RE model is endogenous
What does it mean for a structural equation to be unidentified?
a.) too many endogenous variables are included in the equation to estimate a unique
parameter value
b.) the sample size is not large enough to rely on asymptotic estimator properties
c.) the simultaneous nature of the equations makes random samples impossible to
obtain
d.) the sample size is not large enough to allow M*(M-1) degrees of freedom
What is an interaction term?
a.) an additional variable that is the product of 2 other explanatory variables
b.) a variable indicating 2 observations are related
c.) a variable indicating an observation may be in the dataset multiple times
d.) the expected value formed by multiplying a variable by its estimated coefficient.
If (P(X=x|Y=y) = P(X=x), then
a.) Y is the dependent variable
b.) X and Y are positively correlated
c.) X and Y are statistically independent
c.) Y must be a discrete random variable
At what values of x0 will the standard error of the forecast be smallest?
What is the kurtosis measure of the normal distribution?
) How do you reduce the probability of committing a Type I error?
You want to test the hypothesis
If the null hypothesis is true, how will the test statistic be distributed?
) For which alternative hypothesis do you reject H0 if t=<t a,N-2)?
For what does RESET test?
Which of the following is an ARDL(3,3) model?
Which of the following is NOT equal to cov(X,Y)?
Which of the following statements is true of the standard normal distribution, but not
other normal probability distributions?
Which of the following will change if you scale the dependent variable in a simple
regression model?