Deck 13: Regression With Time Series Data: Nonstationary Variables

Question 1

A stochastic process is best described as

A)deterministic
B)theoretical
C)random
D)mean reverting

Answer 1

C

Question 2

What is the null hypothesis of the Dickey-Fuller Test 2?

A)the series is non-stationary over time
B)the series is stationary
C)the series is first order integrated
D)the series are cointegrated

Answer 2

A

Question 3

An ARDL model with nonstationary variables is a(n)

A)error correction model
B)VEC
C)VAR
D)variance decomposition

Answer 3

A

Question 4

What is the difference between the Dickey-Fuller Tests 1,2,and 3?

A)they test for stationarity around zero,stationarity around a constant,and stationarity around a trend line,respectively
B)they test $\rho$ <1, $\rho$ >1,and $\rho$ =1,respectively
C)they use t, $\tau$ ,and F tests,respectively
D)they test for integration of orders 1,2 and 3 respectively.

Question 5

Why should augmented Dickey-Fuller tests always be used when performing econometric analysis?

A)the augmented tests allow for more degrees of freedom
B)so we can test hypotheses using a t-distribution
C)since no assumptions about the sign of $\rho$ are needed to perform a one-tailed test
D)to confirm that error terms are not autocorrelated

Question 6

Which of the following is a common way to convert a nonstationary series to a stationary series?

A)first differencing
B)cointegrating
C)running a spurious regression
D)estimating distributed lags

Question 7

What is the null hypothesis of the Dickey-Fuller Test 2?

A)the series is non-stationary over time
B)the series is stationary
C)the series is first order integrated
D)the series are cointegrated

Question 8

What does it mean for a series to have a unit root?

A)it has a constant mean equal to 1
B)it has a constant variance equal to 1
C)it is stationary
D)it is integrated of order 1

Question 9

The minimum number of times a series must be differenced to generate a stationary series is the

A)unit root
B)order of integration
C)trend coefficient
D)spurious regression degree

Question 10

Which of the following is a common way to convert a nonstationary series to a stationary series?

A)detrending
B)autoregression
C)estimating distributed lags
D)cointegrating

Question 11

Which of the following is not a necessary condition for a variable to be stationary?

A)E(y_t)= $\mu$
B)var(y_t)= $\sigma$ ²
C)cov(y_t,y_t+s)= cov(y_t,y_t-s)= $\gamma$ _s
D)E(y_t - y_t-1)= $\pi$

Question 12

What is the null hypothesis of the Dickey-Fuller Test 1?

A)the series is non-stationary over time
B)the series is stationary
C)the series is first order integrated
D)the series are cointegrated

Question 13

If series y and z have similar stochastic trends,but are otherwise unrelated,they are said to be

A)cointegrated
B)cotrending
C)converging
D)jointly stationary

Question 14

Which non-stationary time series has a constant mean but non-constant variance?

A)random walk
B)AR(1)with linear trent
C)random walk with drift
D)deterministic trend

Question 15

How do you find the first difference in y_t?

A)y_t- y_t-1
B)dy/ dt
C)y_t -
D)(y_t - ²

Question 16

What is a spurious regression?

A)statistically significant but meaningless results generated by regression analysis of non-stationary data
B)the results generated by regression analysis of a station variable dependent on a non-stationary series
C)regression analysis where endogenous and exogenous variables are reversed
D)regression analysis that is impossible due to lack of identification