Question

Answer each question by writing T or F When selecting models using the Akaike Information Criterion (AIC) we select the model that minimises the statistic. 1. 2. When imperfect multicollinearity exists among two or more explanatory variables, and 3. The Breusch-Pagan LM test statistic follows the F-distribution. 4. If a regression model suffers from autocorrelation the OLS estimators are inefficient and 5. If we include a non-influential variable in an equation the OLS estimators will be biased 6. We can use the Ramsey RESET test for general misspecification to test non-nested 7. Including a constant and all the dummies leads to the dummy variable trap. This wil lead 8. If an equation is overly identified we can estimate the structural parameters of the 9. The null hypothesis for the Kwiatkowski, Phillips, Schmidt and Shin (KPSS) test is that 10. Given that Yt-/(2) and Xt~/(2) such that their linear combination α + ßxt-/(2) for no other assumptions of the CLRM are violated, the OLS estimators are BLUE. therefore no longer BLUE and not consistent. models. to autocorrelation. equation using Two-Stage Least Squares the series is non-stationary. any non-zero values of a and ß, then we will encounter the spurious regression problem.

Answer 1

1)

True

2)

True

3)

False. It follows the chi square test statistic

4)

True

5)

True

6)

True

7)

True

8)

True

9)

True

10)

False