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Your textbook so far considered variables for cointegration that are integrated of the same order. ...

Started by mmm

What role does the concept of cointegration and the order of integration play in modeling the ...

Started by bobthebuilder

There has been much talk recently about the convergence of inflation rates between many of the OECD ...

Started by drink

The lag length in a VAR using the BIC proceeds as follows: Among a set of candidate values of p, the ...

Started by Mr. Wonderful

The EG-ADF test A) is the similar to the DF-GLS test B) is a test for cointegration C) has as a ...

Started by washai

Unit root tests A) use the standard normal distribution since they are based on the t-statistic. ...

Started by lbcchick

The following is not an appropriate way to tell whether two variables are cointegrated: A) see if ...

Started by abarnes

Assume that you have used the OLS estimator in the cointegrating regression and test the residual ...

Started by dejastew

Volatility clustering A) is evident in most cross-sections. B) implies that a series is serially ...

Started by Melani1276

The GLS estimator A) is always the more efficient estimator when compared to OLS. B) is the OLS ...

Started by leo leo

The order of integration A) can never be zero. B) is the number of times that the series needs ...

Started by Mr.Thesaxman

One of the earlier textbooks in econometrics, first published in 1971, compared estimation of a ...

Started by erika

Asymptotic distribution theory is A) not practically relevant, because we never have an infinite ...

Started by dejastew

Slutsky's theorem combines the Law of Large Numbers A) with continuous functions. B) and the ...

Started by drink

When the errors are heteroskedastic, then A) WLS is efficient in large samples, if the functional ...

Started by Yolanda

Finite-sample distributions of the OLS estimator and t-statistics are complicated, unless A) the ...

Started by joblessjake

Under the VAR assumptions, the OLS estimators are A) consistent and have a joint normal ...

Started by casperchen82

One advantage of forecasts based on a VAR rather than separately forecasting the variables involved ...

Started by hbsimmons88

If Yt is I(2), then A) 2Yt is stationary. B) Yt has a unit autoregressive root. C) Yt is ...

Started by panfilo

You have obtained data on test scores and student-teacher ratios in region A and region B of your ...

Started by nummyann

You can determine the lag lengths in a VAR A) by using confidence intervals. B) by using ...

Started by Bernana

A VAR with five variables, 4 lags and constant terms for each equation will have a total of A) 21 ...

Started by mynx

Which of the following factors affect the size of a sample needed when working with a probabilistic ...

Started by tingc95

Based on the selection of a random number, every sixth block in a city in which the blocks are ...

Started by yoroshambo

A(n) ____________________ sample is a nonprobability sample chosen so that the proportion of sample ...

Started by asmith134