Q1. Which of the following statements regarding unit roots in a time series is FALSE? A) Even if a time series has a unit root, the predictions from the estimated model are valid. B) A time series that is a random walk has a unit root. C) A time series with a unit root is not covariance stationary.
Q2. The standard error of the slope coefficient is 0.15, and the number of observations is 60. Given a level of significance of 5%, which of the following can we NOT conclude about this model? A) The model has a unit root. B) The slope on lagged sales is not significantly different from one. C) The model is covariance stationary.
Q3. An AR(1) autoregressive time series model: A) cannot be used to test for a unit root. B) can be used to test for a unit root, which exists if the slope coefficient is less than one. C) can be used to test for a unit root, which exists if the slope coefficient equals one.
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发表于 2009-1-10 16:51
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