计量经济学Test-bank-questions-Chapter-5教学教材.doc

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1、计量经济学Test-bank-questions-Chapter-5MultipleChoiceTestBankQuestionsNoFeedback–Chapter5Correctanswersdenotedbyanasterisk.1.Considerthefollowingmodelestimatedforatimeseriesyt=0.3+0.5yt-1-0.4et-1+etwhereetisazeromeanerrorprocess.Whatisthe(unconditional)meanoftheseries,yt?(a)*0.6(b)0.3(c)0.

2、0(d)0.42.Considerthefollowingsingleexponentialsmoothingmodel:St=aXt+(1-a)St-1Youaregiventhefollowingdata:=0.1,Xt=0.5,St-1=0.2IfwebelievethatthetrueDGPcanbeapproximatedbytheexponentialsmoothingmodel,whatwouldbeanappropriate2-stepaheadforecastforX?(i.e.aforecastofXt+2madeattimet)(a)0.2(

3、b)*0.23(c)0.5(d)Thereisinsufficientinformationgiveninthequestiontoformmorethanaonestepaheadforecast.3.ConsiderthefollowingMA(3)process.yt=0.1+0.4ut-1+0.2ut-2–0.1ut-3+utWhatistheoptimalforecastforyt,3stepsintothefuture(i.e.fortimet+2ifallinformationuntiltimet-1isavailable),ifyouhavethe

4、followingdata?ut-1=0.3;ut-2=-0.6;ut-3=-0.3(a)0.4(b)0.0(c)*0.07(d)–0.14.Whichofthefollowingsetsofcharacteristicswouldusuallybestdescribeanautoregressiveprocessoforder3(i.e.anAR(3))?(a)*Aslowlydecayingacf,andapacfwith3significantspikes(b)Aslowlydecayingpacfandanacfwith3significantspikes

5、(c)Aslowlydecayingacfandpacf(d)Anacfandapacfwith3significantspikes5.Aprocess,xt,whichhasaconstantmeanandvariance,andzeroautocovarianceforallnon-zerolagsisbestdescribedas(a)*Awhitenoiseprocess(b)Acovariancestationaryprocess(c)Anautocorrelatedprocess(d)Amovingaverageprocess6.Whichofthef

6、ollowingconditionsmustholdfortheautoregressivepartofanARMAmodeltobestationary?(a)*Allrootsofthecharacteristicequationmustlieoutsidetheunitcircle(b)Allrootsofthecharacteristicequationmustlieinsidetheunitcircle(c)Allrootsmustbesmallerthanunity(d)Atleastoneoftherootsmustbebiggerthanonein

7、absolutevalue.7.Whichofthefollowingstatementsaretrueconcerningtime-seriesforecasting?(i)Alltime-seriesforecastingmethodsareessentiallyextrapolative.(ii)Forecastingmodelsarepronetoperformpoorlyfollowingastructuralbreakinaseries.(iii)Forecastingaccuracyoftendeclineswithpredictionhorizon

8、.(iv)