Question
I need short explain when you choose your answer
books name :
Introduction to Econometrics 3rd Edition by James H. Stock and Mark W. Watson
Applied Econometric Time Series 4 rd Edition by Walter Enders
16- To estimate an ARCH (Autoregressive Conditional Heteroskedasticity) model a- The Ordinary Least Squares(OLS) method b- The Maximum Likelihood Estimation (MLE) method c- The generalized method of moments d- All of the above 17- The Autocorrelation function (ACF) or correlogram is very important because a- b- c- d- It serves as useful tools to identifying univariate time-series models. It helps us to identify if an economic time series is has a unit root or not. Both A and B None of the above 18- The partial autocorrelation function (PACF) between Yt and Yts is a- The direct autocorrelation between Yt and Yt-s b- The autocorrelation between Yt and Yt-5+1 c Always zero in an AR(1) model and when s >1. d- Very similar to the ACF 19- If two variable Xt and Yt are cointegrated, then the OLS estimator of the cointegrating coefficient is consistent. However, the OLS estimator has a nonnomal distribution, to have right inferences a- The DOLS (Dynamic OLS) estimator with HAC standard errors. b- The DOLS (Dynamic OLS) estimator only C- The OLS estimator with HAC standard errors. d- B or C.
Explanation / Answer
16) c
The method of GLS is preferred over all other methods of estimation as the estimates obtained under a heteroscedastic model are not found BLUE if any other method except GLS is used for estimation of paramters.
17) a
Auto correlation or serial correlation is a violation that emerges when the successive error terms stands to be correlated. this is often found in pooled data time series data involving lagged values, cross sectional data etc. hence presence of auto correlation helps us in identifying univariate time series models.
18) d