Chapter 8

Chapter 8

University

20 Qs

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Chapter 8

Chapter 8

Assessment

Quiz

Mathematics

University

Practice Problem

Easy

Created by

Khánh Trần

Used 6+ times

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20 questions

Show all answers

1.

MULTIPLE CHOICE QUESTION

30 sec • 1 pt

Which of the following is true of heteroskedasticity?

Heteroskedasticty causes inconsistency in the Ordinary Least Squares estimators.

Population R2 is affected by the presence of heteroskedasticty.

The Ordinary Least Square estimators are not the best linear unbiased estimators if heteroskedasticity is present.

It is not possible to obtain F statistics that are robust to heteroskedasticity of an unknown form.

2.

MULTIPLE CHOICE QUESTION

30 sec • 1 pt

Consider the following regression model: yi=β0+β1 xi+ui. If the first four Gauss-Markov assumptions hold true, and the error term contains heteroskedasticity, then _____.

Var(ui|xi) =0

Var(ui|xi) =1

Var(ui|xi) = σi^2

Var(ui|xi) =σ

3.

MULTIPLE CHOICE QUESTION

30 sec • 1 pt

The general form of the t statistic is _____.

t= (estimate−hypothesized value)/ standard error

t= (hypothesized value−estimate)/ standard error

t= standard error (estimate−hypothesized value)

t=estimate−hypothesized value

4.

MULTIPLE CHOICE QUESTION

30 sec • 1 pt

Which of the following is true of the OLS t statistics?

The heteroskedasticity-robust t statistics are justified only if the sample size is large.

The heteroskedasticty-robust t statistics are justified only if the sample size is small.

The usual t statistics do not have exact t distributions if the sample size is large.

In the presence of homoscedasticity, the usual t statistics do not have exact t distributions if the sample size is small.

5.

MULTIPLE CHOICE QUESTION

30 sec • 1 pt

The heteroskedasticity-robust _____ is also called the heteroskedastcity-robust Wald statistic.

t statistic

F statistic

LM statistic

z statistic

6.

MULTIPLE CHOICE QUESTION

30 sec • 1 pt

Which of the following tests helps in the detection of heteroskedasticity?

The Breusch-Pagan test

The Breusch-Godfrey test

The Durbin-Watson test

The Chow test

7.

MULTIPLE CHOICE QUESTION

30 sec • 1 pt

What will you conclude about a regression model if the Breusch-Pagan test results in a small p-value?

The model contains homoskedasticty.

The model contains heteroskedasticty.

The model contains dummy variables.

The model omits some important explanatory factors.

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