If L is the number of exogenous instruments and B is the number of endogenous
regressors in the model, when L = B the model is
a.) just identified
b.) over identified
c.) under identified
d.) precisely identified
What mathematical theorem allows for normally distributed least squares estimators
when assumptions SR1 – SR5 hold but the error term is NOT normally distributed?
a.) Central Limit Theorem
b.) Gauss-Markov Theorem
c.) Law of Large Numbers
d.) the Least Squares Principle
What type of model is most useful for modeling volatility of financial data?
a.) VEC
b.) VAR
c.) ARCH(1)
d.) ARDL(1)
Running auxillary regressions where each explanatory variable is estimated as a
function of eth remaining explanatory variables can help detect
a.) omitted relevant variables
b.) irrelevant variables included
c.) collinearity
d.) heteroskedasiticity
If you run a LM test for heteroskedasiticity and reject the null hypothesis, what should
you conclude?
a.) at least one coefficients in the auxiliary regression is significantly different from
zero, the assumption var(yi.) = var(ei) = 2 is unlikely to be true
b.) there is no evidence of heteroskedasticity, the assumption var(yi.) = var(ei) = 2 is
most likely true
c.) there is heteroskedasticity present and it is correctly specified as tested
d.) there is heteroskedasticity, but it is not linear in the explanatory variables
AR models are primarily used for
a.) forecasting
b.) smoothing data over time
c.) policy evaluation
d.) hypothesis testing
When should a probit model be used?
a.) when you need a binary choice model that allows for varying marginal effects
b.) when you need to model the heteroskedasticity in the linear probability model
c.) to allow for endogenous regressors in a binary choice model
d.) to allow for multiple explanatory variables in a binary choice model
When using least squares to estimate a model with a censored dependent variable, the
results are
a.) biased and inconsistent
b.) unbiased, but not minimum variance
c.) unbiased and consistent
d.) biased but consistent
What does 2SLS abbreviate?
a.) twice squared linear series
b.) second summed linear sample
c.) second order stationary logical sequence
d.) two stage least squares
If you are performing a two-tailed test of significance and you find that the area to the
left of |tc| is .975, what is the p-value?
a.).025
b.) .050
c.) .975
d.) .950