Quiz 8

In the regression of the general fertility rate (gfr) on the tax personal exemption (pe) and its first lag the fitted regression is: \[ \hat{gfr}_t = 95-0.4pe_t+0.4pe_{t-1} \] What is the impact propensity?

-0.4

Consider the MA(2) process: \[ y_t = u_t+0.5u_{t-1}-0.5u_{t-2} \] What is the mean of the process assuming that the u's have a mean of 0 and a variance of 1?

0

In the regression of the general fertility rate (gfr) on the tax personal exemption (pe) and its first lag the fitted regression is: \[ \hat{gfr}_t = 95-0.4pe_t+0.4pe_{t-1} \] What is the Long Run propensity?

0

Consider the estimated AR(1) model for the growth in consumption:\[\hat{gc}_t=0.01+0.4gc_{t1} \] which was estimated for the time period 1959-1985. The value of gc in 1985 was 0.013. Which of the following would be the forecast for 1986 from this model?

0.01+0.4(0.013)

Consider the estimated AR(1) model for the growth in consumption: [\hat{gc}_t=0.01+0.4gc_{t1} \] which was estimated for the time period 1959-1985. Which of the following would be a good approximation to the forecast for 2020.

0.01/0.6

Consider the MA(2) process:\[ y_t = u_t+0.5u_{t-1}-0.5u_{t-2} \] What is the variance of the process assuming that the u's have a mean of 0, a variance of 1 and are mutually independent (also uncorrelated)?

1.5

If one or more variables in a time series regression is trending which of the following procedures should I do to avoid the spurious regression problem?

Include time as a regressor

In the fitted distributed lag model relating gfr to pe from questions 1 and 2: \[ \hat{gfr}_t=95-0.4pe_t+pe_{t-1} \] suppose I know the standard errors for the two slope coefficients. What additional information do I need to find the standard error of the Long Run propensity?

The covariance between the slope coefficients.

In a static regression of the form: \[ y_t=\beta_0 + \beta_1 x_t + u_t \] suppose that the residual is correlated with future values of the regressor. This will result in TS.3 being violated.

True

For which of the following variables is a long run exponential trend implausible?

Unemployment rate