Question 1

Estimation of dynamic multipliers under strict exogeneity should be done by

Accepted Answer

A) instrumental variable methods. 
B) OLS. 
C) feasible GLS. 
D) analyzing the stationarity of the multipliers. 
A) instrumental variable methods. 
B) OLS. 
C) feasible GLS. 
D) analyzing the stationarity of the multipliers.

Question 2

To convey information about the dynamic multipliers more effectively, you should

Accepted Answer

A) plot them. 
B) discuss these carefully one at a time. 
C) estimate them by maximum likelihood methods. 
D) first make sure that they are stationary. 
A) plot them. 
B) discuss these carefully one at a time. 
C) estimate them by maximum likelihood methods. 
D) first make sure that they are stationary.

Question 3

There is some economic research which suggests that oil prices play a central role in causing recessions in developed countries. Some of this work suggests that it is only oil price increases that matter and even more specifically, that it is the percentage point difference between oil prices at date t and the maximum value over the previous year. Realizing that energy prices in general can fluctuate quite dramatically in both directions and that geographic areas also benefit substantially from oil price decreases, you decide to estimate the following distributed lag model using annual data (numbers in parenthesis are HAC standard errors): $\begin{array} { c } 
\hat { \mathrm { Y } } _ { \mathrm { t } } = 3.39 - 0.009 ( \text { Poil } / C P I ) \mathrm { t } - 0.028 ( \text { Poil } / C P I ) \mathrm { t } - 1 \
( 0.27 ) ( 0.010 ) \quad ( 0.011 ) \
\mathrm { t } = 1960 - 2008 , R ^ { 2 } = 0.15 , \text { SER } = 1.88
\end{array}$
a. What is the impact effect of a 25 percent increase in real oil prices?
b. What is the predicted cumulative change in GDP Growth over two years of this effect?
c. The HAC F-statistic is 4.07. Can you reject the null hypothesis that oil price changes have no effect on real GDP growth? What is the critical value you considered? Is there any reason why you should be cautious using an F-test in this case, given the sample period?

Accepted Answer

a. GDP growth would decrease by almost a

Question 4

The concept of exogeneity is important because

Accepted Answer

A) it clarifies whether or not the variable is determined inside or outside your model. 
B) maximum likelihood estimation is no longer valid. 
C) under strict exogeneity, OLS may not be efficient as an estimator of dynamic causal effects. 
D) endogenous variables are not stationary, but exogenous variables are. 
A) it clarifies whether or not the variable is determined inside or outside your model. 
B) maximum likelihood estimation is no longer valid. 
C) under strict exogeneity, OLS may not be efficient as an estimator of dynamic causal effects. 
D) endogenous variables are not stationary, but exogenous variables are.

Question 5

HAC standard errors should be used because

Accepted Answer

A) they are convenient simplifications of the heteroskedasticity-robust standard errors. 
B) conventional standard errors may result in misleading inference. 
C) they are easier to calculate than the heteroskedasticity-robust standard errors and yet still allow you to perform inference correctly. 
D) when there is a structural break, then conventional standard errors result in misleading inference. 
A) they are convenient simplifications of the heteroskedasticity-robust standard errors. 
B) conventional standard errors may result in misleading inference. 
C) they are easier to calculate than the heteroskedasticity-robust standard errors and yet still allow you to perform inference correctly. 
D) when there is a structural break, then conventional standard errors result in misleading inference.

Question 6

GLS involves

Accepted Answer

A) writing the model in differences and estimating it by OLS, using HAC standard errors. 
B) truncating the sample at both ends of the period, then estimating by OLS using HAC standard errors. 
C) checking the AIC rather than the BIC in choosing the maximum lag-length of the regressors. 
D) transforming the regression model so that the errors are homoskedastic and serially uncorrelated, and then estimating the transformed regression model by OLS. 
A) writing the model in differences and estimating it by OLS, using HAC standard errors. 
B) truncating the sample at both ends of the period, then estimating by OLS using HAC standard errors. 
C) checking the AIC rather than the BIC in choosing the maximum lag-length of the regressors. 
D) transforming the regression model so that the errors are homoskedastic and serially uncorrelated, and then estimating the transformed regression model by OLS.

Question 7

The distributed lag model is given by

Accepted Answer

A) Yt = β0 + β1Xt + β2Yt-1 + ut. 
B) Yt = β0 + β1Yt-1 + β2Yt-2 + ... + βrYt-r + ut. 
C) Yt = β0 + β1ut + β2ut+1 + β3ut+2 + ... + βr+1ut+r + et. 
D) Yt = β0 + β1Xt + β2Xt-1 + β3Xt-2 + ... + βr+1Xt-r + ut. 
A) Yt = β0 + β1Xt + β2Yt-1 + ut. 
B) Yt = β0 + β1Yt-1 + β2Yt-2 + ... + βrYt-r + ut. 
C) Yt = β0 + β1ut + β2ut+1 + β3ut+2 + ... + βr+1ut+r + et. 
D) Yt = β0 + β1Xt + β2Xt-1 + β3Xt-2 + ... + βr+1Xt-r + ut.

Question 8

When Xt is strictly exogenous, the following estimator(s)of dynamic causal effects are available:

Accepted Answer

A) estimating an ADL model and calculating the dynamic multipliers from the estimated ADL coefficients 
B) using GLS to estimate the coefficients of the distributed lag model 
C) neither (a)or (b) 
D) (a)and (b) 
A) estimating an ADL model and calculating the dynamic multipliers from the estimated ADL coefficients 
B) using GLS to estimate the coefficients of the distributed lag model 
C) neither (a)or (b) 
D) (a)and (b)

Question 9

Consider the distributed lag model Yt = β0 + β1Xt + β2Xt-1 + β3Xt-2 + … + βr+1Xt-r + ut. The dynamic causal effect is

Accepted Answer

A) β0 + β1 
B) β1 + β2+…+βr+1 
C) β0 + β1+…+βr+1 
D) β1 
A) β0 + β1 
B) β1 + β2+…+βr+1 
C) β0 + β1+…+βr+1 
D) β1

Question 10

GLS is consistent and BLUE if

Accepted Answer

A) X is predetermined. 
B) the error process is AR(1). 
C) X is strictly exogenous. 
D) all the roots are inside the unit circle. 
A) X is predetermined. 
B) the error process is AR(1). 
C) X is strictly exogenous. 
D) all the roots are inside the unit circle.

Estimation of dynamic multipliers under strict exogeneity should be done by

To convey information about the dynamic multipliers more effectively, you should

The concept of exogeneity is important because

HAC standard errors should be used because

GLS involves

The distributed lag model is given by

When X_t is strictly exogenous, the following estimator(s)of dynamic causal effects are available:

Consider the distributed lag model Y_t = β₀ + β₁X_t + β₂X_t_-₁ + β₃X_t_-₂ + … + β_r₊₁X_t_-_r + u_t.The dynamic causal effect is

GLS is consistent and BLUE if

Economic Questions and Data

Review of Probability

Review of Statistics

Linear Regression With One Regressor

Regression With a Single Regressor: Hypothesis Tests and Confidence Intervals

Linear Regression With Multiple Regressors

Hypothesis Tests and Confidence Intervals in Multiple Regression

Nonlinear Regression Functions

Assessing Studies Based on Multiple Regression

Regression With Panel Data

Regression With a Binary Dependent Variable

Instrumental Variables Regression

Experiments and Quasi-Experiments

Introduction to Time Series Regression and Forecasting

Additional Topics in Time Series Regression

The Theory of Linear Regression With One Regressor

The Theory of Multiple Regression

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Exam 15: Estimation of Dynamic Causal Effects

Estimation of dynamic multipliers under strict exogeneity should be done by

To convey information about the dynamic multipliers more effectively, you should

The concept of exogeneity is important because

HAC standard errors should be used because

GLS involves

The distributed lag model is given by

When Xt is strictly exogenous, the following estimator(s)of dynamic causal effects are available:

Consider the distributed lag model Yt = β0 + β1Xt + β2Xt-1 + β3Xt-2 + … + βr+1Xt-r + ut. The dynamic causal effect is

GLS is consistent and BLUE if

Economic Questions and Data

Review of Probability

Review of Statistics

Linear Regression With One Regressor

Regression With a Single Regressor: Hypothesis Tests and Confidence Intervals

Linear Regression With Multiple Regressors

Hypothesis Tests and Confidence Intervals in Multiple Regression

Nonlinear Regression Functions

Assessing Studies Based on Multiple Regression

Regression With Panel Data

Regression With a Binary Dependent Variable

Instrumental Variables Regression

Experiments and Quasi-Experiments

Introduction to Time Series Regression and Forecasting

Additional Topics in Time Series Regression

The Theory of Linear Regression With One Regressor

The Theory of Multiple Regression

Filters

When X_t is strictly exogenous, the following estimator(s)of dynamic causal effects are available:

Consider the distributed lag model Y_t = β₀ + β₁X_t + β₂X_t_-₁ + β₃X_t_-₂ + … + β_r₊₁X_t_-_r + u_t.The dynamic causal effect is