Econometrics Quiz 3

• infinite distributed lag model.

• finite distributed lag model of order 3.

• finite distributed lag model of order 1.

• finite distributed lag model of order 2.

Which of the following statements is true of dynamically complete models?

• Sequential endogeneity is implied by dynamic completeness.

• All econometric models are dynamically complete.

• There is scope of adding more lags to the model to better forecast the dependent variable.

• The problem of serial correlation does not exist in dynamically complete models.

In a true cluster sample, the individuals are first drawn from the clusters.

• True

• False

Sample selection based on the dependent variable is called _____

• stratified sample selection

• exogenous sample selection

• endogenous sample selection

• random sample selection

In a self-selection problem, the explanatory variables can be:

• exogenous.

• independent.

• random.

• endogenous.

The parameters in a linear probability model can be interpreted as measuring the change in the probability that y = 1 due to a one-unit increase in an explanatory variable.

• True

• False

Which of the following statements is true under the Gauss-Markov assumptions?

• Among a certain class of estimators, OLS estimators are best linear unbiased and asymptotically efficient.

• The LM test is independent of the Gauss-Markov assumptions.

• Among a certain class of estimators, OLS estimators are biased but asymptotically efficient.

• Among a certain class of estimators, OLS estimators are best linear unbiased, but are asymptotically inefficient.

Which of the following assumptions is needed for the usual standard errors to be valid when differencing with more than two time periods?

• The regression model includes a lagged independent variable.

• The unobserved factors affecting the dependent variable are time-constant.

• The differenced idiosyncratic error or △u_it is uncorrelated over time.

• The regression model exhibits heteroskedasticty.

One of the assumptions for the plug-in solution to provide consistent estimators of β1 and β2 is that the error u is uncorrelated with all the independent variables.

• True

• False

Which of the following identifies an advantage of first differencing a time-series?

• First differencing eliminates the possibility of spurious regression.

• First differencing eliminates most of the serial correlation.

• First differencing eliminates most of the multicollinearity.

• First differencing eliminates most of the heteroskedastcicty.