Problem Set #4 Multiple Choice

random walk process.

The model yt =yt- 1 +et,t=1,2,...representsa:

any collection of random variables in a sequence is taken and shifted ahead by h time periods, the mean of random variables remains unchanged over time.

A process is stationary if:

a larger t statistic

A smaller standard error means

the test is inconclusive

For a given significance level, if the calculated value of the Durbin Watson statistic lies between the lower critical value and the upper critical value, _____.

estimated OLS values are not BLUE

In the presence of serial correlation:

finite distributed lag model of order 3.

Refer to the following model yt= 0+ 0st+ 1st-1+ 2st-2+ 3st-3+ut This is an example of a(n):

X2 distribution.

The Breusch-Godfrey test statistic follows a:

time periods over which we observe the variables of interest.

The sample size for a time series data set is the number of:

changes in the error term cannot cause future changes in d.

Under the assumptions of time series regression, which of the following statements will be true of the following model: yt = 0 + 1dt + ut?

Durbin Watson test

Which of the following is a test for serial correlation in the error terms?