计量经济学Test-bank-questions-Chapter-3

MultipleChoiceTestBankQuestionsNoFeedback–Chapter3Correctanswersdenotedbyanasterisk.1.Considerastandardnormallydistributedvariable,at-distributedvariablewithddegreesoffreedom,andanF-distributedvariablewith(1,d)degreesoffreedom.WhichofthefollowingstatementsisFALSE?(a)Thestandardnormalisaspecialcaseofthet-distribution,thesquareofwhichisaspecialcaseoftheF-distribution.(b)*Sincethethreedistributionsarerelated,the5%criticalvaluesfromeachwillbethesame.(c)Asymptotically,agiventestconductedusinganyofthethreedistributionswillleadtothesameconclusion.(d)Thenormalandt-distributionsaresymmetricaboutzerowhiletheF-takesonlypositivevalues.2.Ifourregressionequationisy=X+u,wherewehaveTobservationsandkregressors,whatwillbethedimensionofˆusingthestandardmatrixnotation(a)Tk(b)T1(c)*k1(d)kkQuestion3referstothefollowingregressionestimatedon64observations:yt=1+2X2t+3X3t+4X4t+ut3.WhichofthefollowingnullhypothesescouldwetestusinganF-test?(i)2=0(ii)2=1and3+4=1(iii)34=1(iv)2-3-4=1(a)(i)and(ii)only(b)(ii)and(iv)only(c)(i),(ii),(iii)and(iv)(d)*(i),(ii),and(iv)onlyForquestion4,youaregiventhefollowingdata103,86.0,8.09.26.1)'(,4.39.14.19.18.01.24.11.23.1)'(21TsyXXXTheregressionequationisyt=1+2X2t+3X3t+ut4.Whichofthefollowingisthecorrectvaluefor1ˆ?(a)*2.89(b)1.30(c)0.84(d)Wecannotdeterminethevalueof1ˆfromtheinformationgiveninthequestion5.Considerthefollowingregressionestimatedusing84observations:yt=1+2X2t+3X3t+4X4t+utSupposethataresearcherwishestotestthenullhypothesis:2=1and3+4=1.TheTABULATEDvalueoftheF-distributionthatwewouldcomparetheresultoftestingthishypothesiswithatthe10%levelwouldbeapproximately(a)19.48(b)2.76(c)*2.37(d)3.116.Whatistherelationship,ifany,betweent-distributedandF-distributedrandomvariables?(a)At-variatewithzdegreesoffreedomisalsoanF(1,z)(b)*Thesquareofat-variatewithzdegreesoffreedomisalsoanF(1,z)(c)At-variatewithzdegreesoffreedomisalsoanF(z,1)(d)Thereisnorelationshipbetweenthetwodistributions.7.WhichoneofthefollowingstatementsmustholdforEVERYCASEconcerningtheresidualsumsofsquaresfortherestrictedandunrestrictedregressions?(a)URSSRRSS(b)URSSRRSS(c)RRSSURSS(d)*RRSSURSS8.WhichoneofthefollowingisthemostappropriateasadefinitionofR2inthecontextthatthetermisusuallyused?(a)Itistheproportionofthetotalvariabilityofythatisexplainedbythemodel(b)*Itistheproportionofthetotalvariabilityofyaboutitsmeanvaluethatisexplainedbythemodel(c)Itisthecorrelationbetweenthefittedvaluesandtheresiduals(d)Itisthecorrelationbetweenthefittedvaluesandthemean.9.SupposethatthevalueofR2foranestimatedregressionmodelisexactlyone.Whichofthefollowingaretrue?(i)Allofthedatapointsmustlieexactlyontheline(ii)Alloftheresidualsmustbezero(iii)Allofthevariabilityofyaboutismeanhavehasbeenexplainedbythemodel(i)Thefittedlinewillbehorizontalwithrespecttoalloftheexplanatoryvariables(a)(ii)and(iv)only(b)(i)and(iii)only(c)*(i),(ii),and(iii)only(i),(ii),(iii),and(iv)10.Considerthefollowingtworegressionsttttuyxy13221ttttuyxy13221Whichofthefollowingstatementsaretrue?(i)TheRSSwillbethesameforthetwomodels(ii)TheR2willbethesameforthetwomodels(iii)TheadjustedR2willbedifferentforthetwomodels(iv)TheregressionF-testwillbethesameforthetwomodels(a)(ii)and(iv)only(b)*(i)and(iii)only(c)(i),(ii),and(iii)only(d)(i),(ii),(iii),and(iv).11.WhichofthefollowingareoftenconsidereddisadvantagesoftheuseofadjustedR2asavariableaddition/variabledeletionrule?(i)AdjustedR2alwaysrisesasmorevariablesareadded(ii)AdjustedR2oftenleadstolargemodelswithmanymarginallysignificantormarginallyinsignificantvariables(iii)AdjustedR2cannotbecomparedformodelswithdifferentexplanatoryvariables(iv)AdjustedR2cannotbecomparedformodelswithdifferentexplainedvariables.(a)*(ii)and(iv)only(b)(i)and(iii)only(c)(i),(ii),and(iii)only(d)(i),(ii),(iii),and(iv).