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15 views4 pages

Sample Test Final

Uploaded by

hanforwork2203
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
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FINAL EXAMINATION – INDEX 1

FINANCIAL ECONOMETRICS Duration:


100 min
Head of Department of Lecturer: Student ID: Date:
Mathematics

Name: June 2021

Prof. Pham Huu Anh Ngoc Dr. Nguyen Phuong Anh


INSTRUCTIONS:

1. This is an open book examination.

2. Internet search is not allowed.

3. The use of calculators is allowed.

4. Discussion and material transfer are strictly prohibited.

Total pages: 03 (including this page)

Question 1.

You have estimated the following ARMA(1,1) model for some time
series data:

1. Is this series stationary?


2. Is this series invertible?
3. Calculate the expectation, variance, autocorrelation coefficients
order 1 and 2.
4. Suppose that you have data: . Obtain
forecasts for the series y for times t and t+1 using this ARMA
model.

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Question 2.

You obtain the following sample autocorrelations and partial auto-


correlations for a sample of 100 observations from actual data:

Can you identify the most appropriate time series process for this data?

Question 3.

From the U.K. private sector housing starts (X) for the period 1948 to
1984, Terence Mills obtained the following regression results:

SE = (12.5) (0.08)
(TS =) (-2.25)

On the basis of these results, is the housing starts time series stationary or
nonstationary? Alternatively, is there a unit root in this time series?

Note: The 5% critical τ value is −2.95 and the 10 percent critical τ value
is −2.60 for Dickey-Fuller Test.

Question 4.

An economics department at a large state university keeps track of its


majors’ starting salaries. The main question is: does taking econometrics
affect starting salary?

Let SAL = salary in dollars, GPA = grade point average on a 4.0 scale,
METRICS = 1 if student took econometrics, and METRICS = 0 otherwise.

The estimated regression from a sample of 50 recent graduates is as


follows:

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a) Use hypothesis testing to answer the research question whether
METRICS affects SAL?
b) How would you modify the equation to see whether women had
lower starting salary than men? (Hint: define and use the dummy
variable FEMALE = 1 if female, zero otherwise)
c) How would you modify the equation to see if the parameter of the
variable METRICS was the same for men and women?

Question 5.

Which are the 3 most important diagnostic tests regarding a multiple


linear regression model for a time series?

How to detect them? What are the consequences? Which is (potentially)


the best solution to deal with them?

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