Question 1

What does VEC abbreviate?

Accepted Answer

A) vector error correction 
B) variable error correction 
C) vector economic cointegration 
D) variable econometric condition 
A) vector error correction 
B) variable error correction 
C) vector economic cointegration 
D) variable econometric condition A

Question 2

When estimating a VEC model using a two step least squares process,what is the second step?

Accepted Answer

A) use least squares to estimate the cointegrating relationship 
B) use least squares to estimate first differences as a function of estimated residuals 
C) use least squares to estimated residuals as a function of first differences 
D) use least squares to estimate first differences as a function of lagged differences 
A) use least squares to estimate the cointegrating relationship 
B) use least squares to estimate first differences as a function of estimated residuals 
C) use least squares to estimated residuals as a function of first differences 
D) use least squares to estimate first differences as a function of lagged differences B

Question 3

What type of model provides information about sources of volatility?

Accepted Answer

A) a VAR model 
B) an impulse response function 
C) variance decomposition 
D) an ARDL model 
A) a VAR model 
B) an impulse response function 
C) variance decomposition 
D) an ARDL model C

Question 4

When estimating a VEC model using a two step least squares process,what is the first step?

Accepted Answer

A) use least squares to estimate the cointegrating relationship 
B) use least squares to estimate first differences as a function of estimated residuals 
C) use least squares to estimated residuals as a function of first differences 
D) use least squares to estimate first differences as a function of lagged differences 
A) use least squares to estimate the cointegrating relationship 
B) use least squares to estimate first differences as a function of estimated residuals 
C) use least squares to estimated residuals as a function of first differences 
D) use least squares to estimate first differences as a function of lagged differences

Question 5

Impulse response funcitons can be difficult to identify as a result of

Accepted Answer

A) interdependent dynamics and unobserved data 
B) violations of the ceteris paribus assumption 
C) unobserved data and violations of the ceteris paribus assumption 
D) interdependent dynamics and innovation 
A) interdependent dynamics and unobserved data 
B) violations of the ceteris paribus assumption 
C) unobserved data and violations of the ceteris paribus assumption 
D) interdependent dynamics and innovation

Question 6

What is the difference between a VEC and a VAR?

Accepted Answer

A) The VAR model is for only 2 series and VEC models accommodate 3 or more variables. 
B) The VAR model is a special form of the VEC model and should be used for nonstationary series. 
C) The VEC model is a special form of the VAR and should be used with cointegrated series. 
D) The VAR model deals with stationary series while the VEC allows for dynamic series. 
A) The VAR model is for only 2 series and VEC models accommodate 3 or more variables. 
B) The VAR model is a special form of the VEC model and should be used for nonstationary series. 
C) The VEC model is a special form of the VAR and should be used with cointegrated series. 
D) The VAR model deals with stationary series while the VEC allows for dynamic series.

Question 7

Functions that show how variables adjust to shocks over time are known as

Accepted Answer

A) adjustment functions 
B) system dynamic functions 
C) impulse response functions 
D) expansion paths 
A) adjustment functions 
B) system dynamic functions 
C) impulse response functions 
D) expansion paths

Question 8

What does VAR abbreviate?

Accepted Answer

A) variance auto reduction 
B) vector autoregressive 
C) variance active regression 
D) vector alpha reduction 
A) variance auto reduction 
B) vector autoregressive 
C) variance active regression 
D) vector alpha reduction

Question 9

What type of model tells you whether two series are significantly related to each other?

Accepted Answer

A) a VAR model 
B) an impulse response function 
C) variance decomposition 
D) an ARDL model 
A) a VAR model 
B) an impulse response function 
C) variance decomposition 
D) an ARDL model

Question 10

In which case should a VAR model be used rather than a VEC model?

Accepted Answer

A) the series are I(1) 
B) all series are stationary 
C) the series are not cointegrated 
D) you have more than 2 series 
A) the series are I(1) 
B) all series are stationary 
C) the series are not cointegrated 
D) you have more than 2 series

Question 11

What type of model shows how series react dynamically to shocks?

Accepted Answer

A) a VAR model 
B) an impulse response function 
C) variance decomposition 
D) an ARDL model 
A) a VAR model 
B) an impulse response function 
C) variance decomposition 
D) an ARDL model

What does VEC abbreviate?

When estimating a VEC model using a two step least squares process,what is the second step?

What type of model provides information about sources of volatility?

When estimating a VEC model using a two step least squares process,what is the first step?

Impulse response funcitons can be difficult to identify as a result of

What is the difference between a VEC and a VAR?

Functions that show how variables adjust to shocks over time are known as

What does VAR abbreviate?

What type of model tells you whether two series are significantly related to each other?

In which case should a VAR model be used rather than a VEC model?

What type of model shows how series react dynamically to shocks?

An Introduction to Econometrics

Pp : Prob, Probability Primer, Probability Primer

The Simple Linear Regression Model

Interval Estimation and Hypothesis Testing

Prediction, Goodness-Of-Fit and Modeling Issues

The Multiple Regression Model

Further Inference in the Multiple Regression Model

Using Indicator Variables

Heteroskedasticity

Regression With Time Series Data: Stationary Variables

Random Regressors and Moment Based Estimation

Simultaneous Equations Models

Regression With Time Series Data: Nonstationary Variables

Time-Varying Volatility and Arch Models

Panel Data Models

Qualitative and Limited Dependent Variable Models

Filters

Exam 14: Vector Error Correction and Vector Autoregressive Models

What does VEC abbreviate?

When estimating a VEC model using a two step least squares process,what is the second step?

What type of model provides information about sources of volatility?

When estimating a VEC model using a two step least squares process,what is the first step?

Impulse response funcitons can be difficult to identify as a result of

What is the difference between a VEC and a VAR?

Functions that show how variables adjust to shocks over time are known as

What does VAR abbreviate?

What type of model tells you whether two series are significantly related to each other?

In which case should a VAR model be used rather than a VEC model?

What type of model shows how series react dynamically to shocks?

An Introduction to Econometrics

Pp : Prob, Probability Primer, Probability Primer

The Simple Linear Regression Model

Interval Estimation and Hypothesis Testing

Prediction, Goodness-Of-Fit and Modeling Issues

The Multiple Regression Model

Further Inference in the Multiple Regression Model

Using Indicator Variables

Heteroskedasticity

Regression With Time Series Data: Stationary Variables

Random Regressors and Moment Based Estimation

Simultaneous Equations Models

Regression With Time Series Data: Nonstationary Variables

Time-Varying Volatility and Arch Models

Panel Data Models

Qualitative and Limited Dependent Variable Models

Filters