Financial Econometrics Test

Name of Student: Avijit Roy

Roll No.: 14016
State whether the given statements are true or false and give reasons in the space provided.
1. To test the null hypothesis that an AR(1) process has a unit root, one may use the
Student distribution.
True False
Answer: False. When the process has a unit root the standard t-test doesnt apply.

2. An i.i.d. process is always weakly stationary.

True False
Answer: False. An i.i.d. process may have innite variance.

3. If the empirical ACF (autocorrelation function) dies off more or less geometrically
with increasing lag number, it is a sign that the series obeys a pure AR process.
True False
Answer: True

4. While taking the data for the value of a stock, one looks at the weekly data.
True False
Answer: False

5. Cross-sectional data are collected at a single point in time.

True False
Answer: True

6. The logic of cause and effect relationship should come from some theory or other.
True False
Answer: True
7. In case of dummy variables, perfect multicollinearity arises.
True False
Answer: True

8. To analyse the trend component of a time series data, we need to take data over a
short period of time.
True False
Answer: False

9. There is autocorrelation problem in time-series data.

True False
Answer: True

10.

The given series is non-stationary in nature.

True False
Answer: False