j计量经济学-testbank-Chapters-1-and-2

MultipleChoiceTestBankQuestionsNoFeedback–Chapters1and2Correctanswersdenotedbyanasterisk.1.Thenumericalscoreassignedtothecreditratingofabondisbestdescribedaswhattypeofnumber?(a)Continuous(b)Cardinal(c)*Ordinal(d)Nominal2.Supposethatwewantedtosumthe2007returnsontensharestocalculatethereturnonaportfoliooverthatyear.Whatmethodofcalculatingtheindividualstockreturnswouldenableustodothis?(a)*Simple(b)Continuouslycompounded(c)Neitherapproachwouldallowustodothisvalidly(d)Eitherapproachcouldbeusedandtheywouldbothgivethesameportfolioreturn3.Considerabivariateregressionmodelwithcoefficientstandarderrorscalculatedusingtheusualformulae.Whichofthefollowingstatementsis/arecorrectregardingthestandarderrorestimatorfortheslopecoefficient?(i)Itvariespositivelywiththesquarerootoftheresidualvariance(s)(ii)ItvariespositivelywiththespreadofXaboutitsmeanvalue(iii)ItvariespositivelywiththespreadofXaboutzero(iv)ItvariespositivelywiththesamplesizeT(a)*(i)only(b)(i)and(iv)only(c)(i),(ii)and(iv)only(d)(i),(ii),(iii)and(iv).4.Inatimeseriesregressionoftheexcessreturnofamutualfundonaconstantandtheexcessreturnonamarketindex,whichofthefollowingstatementsshouldbetrueforthefundmanagertobeconsideredtohave“beatenthemarket”inastatisticalsense?(a)*Theestimateforshouldbepositiveandstatisticallysignificant(b)Theestimateforshouldbepositiveandstatisticallysignificantlygreaterthantherisk-freerateofreturn(c)Theestimateforshouldbepositiveandstatisticallysignificant(d)Theestimateforshouldbenegativeandstatisticallysignificant.5.WhatresultisprovedbytheGauss-Markovtheorem?(a)ThatOLSgivesunbiasedcoefficientestimates(b)ThatOLSgivesminimumvariancecoefficientestimates(c)*ThatOLSgivesminimumvariancecoefficientestimatesonlyamongtheclassoflinearunbiasedestimators(d)ThatOLSensuresthattheerrorsaredistributednormally6.ThetypeIerrorassociatedwithtestingahypothesisisequalto(a)OneminusthetypeIIerror(b)Theconfidencelevel(c)*Thesizeofthetest(d)Thesizeofthesample7.Whichofthefollowingisacorrectinterpretationofa“95%confidenceinterval”foraregressionparameter?(a)*Weare95%surethattheintervalcontainsthetruevalueoftheparameter(b)Weare95%surethatourestimateofthecoefficientiscorrect(c)Weare95%surethattheintervalcontainsourestimateofthecoefficient(d)Inrepeatedsamples,wewouldderivethesameestimateforthecoefficient95%ofthetime8.WhichofthefollowingstatementsiscorrectconcerningtheconditionsrequiredforOLStobeausableestimationtechnique?(a)*Themodelmustbelinearintheparameters(b)Themodelmustbelinearinthevariables(c)Themodelmustbelinearinthevariablesandtheparameters(d)Themodelmustbelinearintheresiduals.9.WhichofthefollowingisNOTagoodreasonforincludingadisturbanceterminaregressionequation?(a)Itcapturesomitteddeterminantsofthedependentvariable(b)*Toallowforthenon-zeromeanofthedependentvariable(c)Toallowforerrorsinthemeasurementofthedependentvariable(d)Toallowforrandominfluencesonthedependentvariable10.WhichofthefollowingisNOTcorrectwithregardtothep-valueattachedtoateststatistic?(a)*p-valuescanonlybeusedfortwo-sidedtests(b)Itisthemarginalsignificancelevelwherewewouldbeindifferentbetweenrejectingandnotrejectingthenullhypothesis(c)Itistheexactsignificancelevelforthetest(d)Giventhep-value,wecanmakeinferenceswithoutreferringtostatisticaltables11.WhichoneofthefollowingisNOTanassumptionoftheclassicallinearregressionmodel?(a)Theexplanatoryvariablesareuncorrelatedwiththeerrorterms.(b)Thedisturbancetermshavezeromean(c)*Thedependentvariableisnotcorrelatedwiththedisturbanceterms(d)Thedisturbancetermsareindependentofoneanother.12.Whichofthefollowingisthemostaccuratedefinitionoftheterm“theOLSestimator”?(a)ItcomprisesthenumericalvaluesobtainedfromOLSestimation(b)*Itisaformulathat,whenappliedtothedata,willyieldtheparameterestimates(c)Itisequivalenttotheterm“theOLSestimate”(d)Itisacollectionofallofthedatausedtoestimatealinearregressionmodel.13.Tworesearchershaveidenticalmodels,data,coefficientsandstandarderrorestimates.Theytestthesamehypothesisusingatwo-sidedalternative,butresearcher1usesa5%sizeoftestwhileresearcher2usesa10%test.Whichoneofthefollowingstatementsiscorrect?(a)Researcher2willusealargercriticalvaluefromthet-tables(b)*Researcher2willhaveahigherprobabilityoftypeIerror(c)Researcher1willbemorelikelytorejectthenullhypothesis(d)Bothresearcherswillalwaysreachthesameconclusion.14.Consideranincreaseinthesizeofthetestusedtoexamineahypothesisfrom5%to10%.Whichoneofthefollowingwouldbeanimplication?(a)*TheprobabilityofaTypeIerrorisincreased(b)TheprobabilityofaTypeIIerrorisincreased(c)Therejectioncriterionhasbecomemorestrict(d)Thenullhypothesiswillberejectedlessoften.15.Whatistherelationship,ifany,betweenthenormalandt-distributions?(a)At-distributionwithzerodegreesoffreedomisanormal(b)At-distributionwithonedegreeoffreedomisanormal(c)*At-distributionwithinfinitedegreesoffreedomisanormal(d)Thereisnorelationshipbetweenthetwodistributions.