Q1. Which of the following is least likely a consequence of a model containing ARCH(1) errors? The:
A) variance of the errors can be predicted. B) regression parameters will be incorrect. C) model's specification can be corrected by adding an additional lag variable.
Q2. Suppose you estimate the following model of residuals from an autoregressive model:
εt2 = 0.25 + 0.6ε2t-1 + µt, where ε = ε^ If the residual at time t is 0.9, the forecasted variance for time t+1 is: A) 0.736. B) 0.790. C) 0.850.
Q3. Suppose you estimate the following model of residuals from an autoregressive model: εt2 = 0.4 + 0.80εt-12 + µt, where ε = ε^ If the residual at time t is 2.0, the forecasted variance for time t+1 is: A) 3.2. B) 2.0. C) 3.6.
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发表于 2009-1-10 17:04
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