AAA CLASS Econometrics

Lecturer: Dinh Van Thanh - K55 KTQT

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CHAPTER 1: INTRODUCTION TO ECONOMETRICS

Question 1: What is the main analytical tool that Econometrics uses?

A. Regression analysis C. Cause and effect analysis
B. Correlation Analysis D. Both A, B and C

Question 2: The first step to take when researching an econometric problem is:
A. Build the model C. Study documents, theorem, theory related to the research problem
B. Collect the data D. Estimate the model parameters

Question 3: Which type of data does not show the change of the variables over time?
A. Cross-section data C. Panel data
B. Time series data D. None of these above

Question 4: The difference between economic model and econometrics model is:
A. The economic model exists only in theory
B. The econometric model is built independently on the economic model
C. Economic models cannot use data
D. The econometric model has disturbing factors

Question 5: Research on the relationship between salary and education level of Northern provinces
in May 2018. What kind of data is used?
A. Cross-section data C. Panel data
B. Time series data D. None of these above

Question 6: Which of the following is true about the correlation coefficient?

A. It is an indicator to evaluate the tight of a single linear correlation relationship
B. Determine the strength of the relationship from which to choose the primary or secondary cause for the
research phenomenon.
C. Determine the specific direction of the relationship (positive - negative).
D. All of these above are correct

Question 7: Which of the following statements is incorrect:

A. r ® - 1: X and Y are closely linearly related.
B. r > 0: X and Y are positively linearly related
C. r ® 0: X and Y are loosely linearly related.
D. r = 0: X and Y are independent

Question 8: Regression analysis

A. shows the strength and weakness of relationships among variables B. is a one-way analysis
C. does not distinguish roles between variables D. contains causal relationship

Question 9: Which of the following statements is incorrect:

A. Regression relation includes causal relationship
B. Relation among economic variables is statistical relation
C. Correlation relations do not distinguish the roles of variables
D. Regression relation is the dependence of one variable on one or more other variables

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CHAPTER 2: TWO-VARIABLE REGRESSION MODEL

Question 1: Residual is:

A. The variation between real value and expected value
B. The variation between real value and mean value
C. The variation between mean value and expected value
D. None of those above

Question 2: Given the model: Y ! = β# + β# X . Regress the model with OLS method; i = 1, 2, …, n.
1 2
Estimation of β# 2 is unbiased, which means:
A. E(β# 2 ) = β2 C. E(β2 ) = β# 2
B. β# 2 has BLUE properties. D. E(β2 ) = 0

Question 3: In OLS estimation, which factor gets minimun value?

A. Residual B. Residual squared C. Intercept D. Slope

Question 4: Given these following models:

(1) Yi = β# 0 + β# 1 Xi + ui ! i = β# + β# Xi + ui
(2) Y 0 1
! i = β# + β# Xi
(3) Y 0 1
Which model of these above is correctly performed:
A. (1) B. (2) C. (3) D. (1) and (3)

Question 5: Which of the following equations is not a linear regression?

A. Y = β0 + β1 X1 + ui C. lnY = β0 + β1 lnX1 + ui
B. Y = β0 + β1 lnX1 + ui D. Y = β0 + β21 X1 + ui

Question 6: Which of these following ideas is proved by Gauss-Markov theory?

A. OLS method gives unbiased estimated coefficients
B. OLS method gives smallest variance estimations of coefficients
C. OLS method only gives estimations of variance coefficients that are minimized when the estimations
are linear and unbiased
D. OLS method guarantees that errors are normally distributed

Question 7: The properties of OLS estimation are:

A. Unbiased C. Linear, Unbiased, Best
B. Linear, Unbiased D. Linear, Efficient

Question 8: The estimated slope of the single regression model is 0, when:

A. 0 < R2 < 1 $
B. R2 = Y C. R2 = 0 D. R2 > ESS/TSS

! i = β# + β# Xi , i = 1, 2, …, n. Given var(X) = 2 cov(X,Y), if the model is

Question 9: Given the model: Y 1 2
estimated by OLS method then the estimated β# 2 is:
A. 2 B. 0,5 C. 0,2 D. 0

Question 10: Given R2 = 1. Which of these followings are true:

(ii) All data points lie on a straight line
(ii) All residuals are equal to 0
(iii) Total variation of y around the mean value is explained by the model
(iv) The fitted line is horizontal for all explanatory variables
A. (ii) and (iv) B. (i) and (iii) C. (i), (ii) and (iii) D. All of these above

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Question 11: Given the regression model: Yi = aXi + b + ui with 10 observations gives the result as:
∑Yi = 99855,75 ∑Xi = 112800 ∑xi yi = 50104729 ∑x2i = 64156000 ∑y2i = 39296085,66
OLS parameters are:
A. a = 1,275, b = - 4396,425 C. a = 0,781, b = 11758,95
B. a = 1,275, b = - 43964,25 D. a = 0,781, b = 1175,9

! i = 120 + 2,5Xi. The value of residual at the observation

Question 12: Given the regresstion model: Y
with X = -16, Y = 100, is:
A. 60 B. 20 C. -20 D. Not enough information to calculate

Question 13: When estimated a regression model using a data set of 50 observations, we obtain RSS
= 120, ESS = 356. The value of the determination coefficient R2 is:
A. 0.252 B. 0.748 C. 0.337 D. None of these above

Question 14: Estimating a regression model we have the following results: Yi = 8 + 5Xi + ei . If we
change the ratio of the independent variable X by multiplying X by 0.5, the new intercept and slope
will be:
A. 4 and 2,5 B. 8 and 2,5 C. 8 and 10 D. 16 and 10

Question 15-16 using these following information:

Assuming the correct model showing the relationship between education (educ - years of training, units in
years) and wages (wage - hourly wages, in dollar) as wage = β1 + β2educ + ui

Question 15: Which of these following statements is true:

A. The unbiased property of OLS estimators means E(β# 1 ) = β2, E(β# 2 ) = β1
B. The least squares method for best unbiased unlinear estimates
C. Independent variables with a large degree of variability (or ∑(Xi - X $ )2) and large sample size are good
signs because they improve the accuracy of the estimated parameters.
D. None of these above

Question 16: Assume that we estimate the above model through a data sample and obtain the
following estimates: 𝛃! 𝟏 = 3 and 𝛃
! 𝟐 = 1,5. Which is not a prediction from the obtained model?
A. As the number of years of training increases by 1 year, the average hourly wage increases by $1.5
B. A person without training is paid an average of $3 per hour
C. A person with 16 years of training is paid $27 per hour in average
D. For every increase by 1.5 years of training, the average hourly wage increases by $1

Question 17: Coefficient of determination estimates:

A. Correlation between X and Y C. Covariance between X and Y
B. The amount of variation in the value of the dependent variable Y D. Ratio between ESS and TSS

Question 18: Which of the following is a linear regression model:

A. Yi = exp(β1 + β2Xi + ui) C. Yi = β1 + β## Xi + ui
B. ln(Yi) = β1 + β2/Xi + ui D. Yi = ln(β1) + β2Xi + ui

Question 19: Company X has a portfolio with two investments A and B, of which investment A
accounts for 40%. We get the yield variance of the two investments as var(RA) = 0,09, var(RB) = 0,16,
and the covariance cov(RA,RB) = 0,24. The standard deviation of the return on a portfolio is:
A. 0,743 B. 0,1872 C. 0,552 D. 0,433

Question 20: Given the regression model Yi = β1 + β2Xi + ui:

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A. β1 is the intercept, β2 is the slope, ui is the residual

B. β1 is the slope, β2 is the intercept, ui is the residual
C. β1 is the intercept, β2 is the slope, ui is random error
D. β1 is the slope, β2 is the intercept, ui is random error

Question 21: OLS estimations are unbiased when:

A. Heteroscedasticity happens B. Expected random error differ from
C. Model is lack of variables D. The sample is not random

!𝐢 = 20 + 0,75Xi. The value of the residual at the

Question 22: Given a sample regression model 𝐘
observation X = 100, Y = 90 is:
A. 10 B. -5 C. 5 D. Không thể xác định được

Question 23: The dependent variable Y in regression analysis is:

A. Random B. Given C. Non-random D. Both A, B and C are correct

Question 24: Using data including 100 observations, we can estimate the following model: Yi = 8 +
5Xi + ei . Given that R2 = 0.86. Correlation coefficient between X and Y is:
A. 0.86 C. -0.86
B. 0.927 D. Can’t determine with given information

Question 25: What does the model residuals represent in practice:

A. Wrong function form C. The theory is not enough
B. Missing data D. Both A, B and C are correct

Question 26: The dependent variable has:

A. Poisson distribution C. Standard distribution
B. Student distribution D. Bernoulli distribution

Question 27: In OLS estimation:

A. R2 is minimized B. ESS is minimized C. RSS is minimized D. All of these above

Question 28: A linear regression model is possible to have:

A. One dependent variable and many independent variables
B. Many dependent variables and many independent variables
C. One independent variable and many dependent variables
D. All of these above

Question 29: Coefficient of determination indicates:

A. Percentage of the mean value of the dependent variable is explained by the independent variables
B. Percentage of the mean value of the dependent variable is explained by the residuals
C. Percentage of the mean value of the dependent variable is explained by the estimators of independent
variables
D. None of these above

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CHAPTER 3: MULTI-VARIABLE REGRESSION MODEL

Question 1: Which is the correct form of an polulation regression model?

A. Yi = β1 + β2X2i + β3X3i C. Yi = β1 + β2X2i + β3X3i + ui
B. E(Y) = β1 + β2X2i + β3X3i + ui !% = β1 + β2X2i + β3X3i + ui
D. Y

Question 2: Estimate a regression model with 3 independent variables using sample data of 150
observations. The degree of freedom of this model is:
A. 148 B. 147 C. 146 D. 145

Given the following linear regression equation, where Y is the revenue (hundred million VND), X is
the selling price (million VND), Z is the advertising cost (million VND), answer 2 questions 3, 4:
! = 5.821 - 2.124X + 2.678Z
Y
t (9.39) (-59) (12.81)
se (0.62) (0.036) (0.209) R2 = 0.9

Question 3: “R2 = 0.9” means:

A. 90% of average sales are explained by changes in selling prices
B. 90% of average sales are explained by changes in sales prices and advertising costs
C. 90% of average sales are explained by changes in advertising costs
D. None of these above

Question 4: Based on the estimation results, we can explain that :

A. Excluding the impact of advertising costs, if the selling price increases by 1 million VND, the average
revenue will increase 212.4 million VND.
B. Excluding the impact of advertising costs, if the selling price drops by 1 million VND, the average
revenue will increase 212.4 million VND.
C. None of these above

Question 5: Assume the following estimates of wage estimate for age as follow: Wage = 953,754 +
131,37age – 1,67age2 . Assume the independent variables are statistically significant. This model:
A. Follows the law of diminishing margins C. None of these above
B. Does not follow the law of diminishing margins

Question 6: (continued from Question 5) If the employee is 30 years old, the age increases by 1 unit,
the average salary change is:
A. 31.17 B.131.37 C.3.34 D. None of these above

Question 7: After estimating the model, we SRF = Y ! = 12,1 + 2,4X1 – 1,8 X2 . Now the residuals at the
observation with the coordinate Y = 25,19, X1 = 9, X2 = 6 is:
A 22,9 B. 2,29 C. 12,49 D. None of these above

Question 8: Given the regression model: Yi = β1 + β2X2i + β3X3i + ui với i = 1, 2, 3, ..., 98. The degree
of freedom of the model is:
A. 96 B. 95 C. 94 D. 93

Question 9: In the regression model lnQi = 2.25 – 0.7lnPi + 0.02Yi where Pi is price and Qi is the
quantity demanded for a certain good, Yi is the available income. What is the significance of the
coefficient 0.7?
A. If the price increases by 1%, the quantity of demand will be 0.007% lower on average while the other
variables remain the same
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B. If the price increases by 1% the quantity of demand will be 70% lower on average while the other
variables remain the same
C. If the price increases by 1% the quantity of demand will be 0.7% lower on average while the other
variables remain the same
D. None of these above

The information below is used for questions 10-14:

A researcher wants to investigate how a country's consumption depends on their inflation, population
and income.
In which:
c: real expenditure per capita ($)
inf: inflation rate (%)
pop: population (thousand people)
y: real income per capita ($)

Model 2: OLS, using observations 1959-1995 (T = 37)

Dependent variable: c

Coefficient Std. Error t-ratio p-value

const -2385.46 708.058 .............. 0.0019 ***
inf .................. 6.00019 -1.5528 0.1300 ***
y 0.589597 0.0479538 12.2951 <0,0001 ***
pop 0.0250876 0.00615279 4.0774 0.0003 ***

Mean dependent var 11328.65 S.D. dependent var 2505.241

Sum squared resid 341024.4 S.E. of regression ...............
R-squared ............... Adjusted R-squared 0.998353
F(3, 33) 7277.008 P-value(F) 1.32e-46
Log-likelihood -221.3834 Akaike criterion 450.7667

Question 10: The significance of the regression coefficient of variable y is:

A. The real average income increases by $ 1, the mean c-value increases by $ 0.589597, ceteris paribus
B. The real average income increases by $ 1, the mean c-value increases by 0.589597%, ceteris paribus
C. The real average income increases by 1%, the mean c-value increases by $ 0.589597, ceteris paribus
D. None of these above

Question 11: The significance of the regression coefficient of pop is:

A. Population increases by 1%, then average real expenditure increases by $ 0.0250876, ceteris paribus
B. Population increases by a thousand people, then average real expenditure increases by $ 0.0250876
C. Population increases by a thousand people, then average real expenditure increases by 0.0250876%,
ceteris paribus
D. Population increases by a thousand people, then average real expenditure increases by $0.0250876,
ceteris paribus

Question 12: The standard error of the regression line is:

A. 2505,514 B. 18,52815 C. 101,6566 D. 2614,949

Question 13: The coefficient of determination of the model is:

A. 0.998491 B. 0.843914 C. 0.756981 D. 0.974773

Question 14: The significance of the coefficient of determination in the model is

A. 99.8491% of the mean of the dependent variable is explained by the independent variables
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B. 99.8491% of the change of the dependent variable is explained by the random factors
C. 99.8491% of the change of the dependent variable is explained by the independent variables
D. 99.8491% of the mean of the dependent variable is explained by the random factors

Question 15: Which model describes the unstable marginal effect of the independent variable on the
dependent variable?
1
A. Y = β1 + β2 + β3 X3i ui C. lnY = β1 + β2 lnX2i + β3 X3i + ui
X2i
B. Y = β1 + β2 X2i + β3 X22i + ui D. Y = β1 + β22 X2i + β3 lnX3i + ui

Question 16: Which of the following can be seen as a disadvantage when using *R ***2 ?
***2 is always increasing when adding variables
(i) R
(ii) ***
R2 typically results in many significant variables and many insignificant variables for multi-variable
models
(iii) ***
R2 cannot be compared for models with different explanatory variables
(iv) R***2 cannot be compared for models with different explained variables
A. (ii) and (iv) B. (i) and (iii) C. (i), (ii), (iii) D. All of these above

The information below is used for questions 17-20:

Regress the electricity production cost (unit: million USD) by power output (thousand kWh), labor rental
(USD / year), cost price (unit: USD) and fuel price (USD per 1 million BTU). Regression results are as
follows:

Question 17: The residual sum of squares is:

A. 29147.0952 B. 28501.4815 C. 21859.4027 D. 21992.5929

Question 18: The estimated sum of squares is:

A. 852001.954 B. 488104.481 C. 369519.501 D. 182049.859

Question 19: The coefficient of determination of the model is:

A.0.9420 B. 0.9438 C. 0.9571 D. 0.9753

Question 20: The meaning of the coefficient of the variable Price_Lab is:
A. If labor cost increases by 1 USD, the average electricity production cost increases by 0.0036183 million

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B. If labor cost increases by 1 USD, the average electricity production cost increases by 0.0036183 million
USD when other factors remain unchanged.
C. If labor cost increases by 1%, electricity production cost increases by 0.0036183% when other factors
remain unchanged.
D. If labor cost increases by 1 USD, the average electricity production cost increases by 0.0036183%

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CHAPTER 4: STATISTICAL INFERENCE

Question 1: Which of the following quantities always takes a non-negative value?

A. t B. F C. cov(X, Y) D. R2

Question 2: The significance level decreases, the confidence interval’s width will:
A. Increase B. Decrease C. stay unchanged D. All of those above

Question 3: The null hypothesis of the coefficient’s significance test is:

A. b! i = 0 B. bi > 0 C. bi < 0 D. bi = 0

Question 4: Which of the following statements is FALSE to using p-value for tests
A. p-value is only used for 2-sided test
B. p-value is the exact significance level of the test
C. p-value is the level of marginal significance - where we will decide between rejecting or not rejecting
the null hypothesis.
D. If p-value is known, we can make statistical inference without checking statistical tables

Question 5: Significance level is 5%. Small p - value (less than 1%) indicates evidence:
A. Reject the null hypothesis C. Accept the null hypothesis
B. The t-statistic is less than 2.58 D. None of these above

Question 6: Testing the model’s significance is to determine:

A. Whether all coefficients, including intercept, are zero concurrently
B. Whether the model is accurately estimated or not
C. Whether all the coefficients, excluding intercept, are concurrently zero
D. Whether we need to add additional independent variables to the model

Question 7: To test the significance of the regression model with 4 independent variables, the null
hypothesis is:
A. H0: R2 = 0 C. H0: β& = β# = β' = β( = β) = 0
B. H0: β# 2 = β# 3 = β# 4 = β# 5 = 0 D. H0: β# = β' = β( = β) ≠ 0

Question 8: Given the following model: Yi = β0 + β1 X1 + β2 X2 + β3 X3 + ui . After running the

regression we obtain R2 (1) = 0.977. It is suggested that X2 , X3 should be excluded from the model.
The model Yi = β0 + β1 X1 + ui gives the R2 (2) = 0.958. The number of observations is 24. To test
whether X2 , X3 should be included in the model or not, compute the F-statistic equal to:
A. F = 9.09 B. F = 8.26 C. F = 16.52 D. None of these above

Question 9: With the result of Question 8, at the 5% level of significance, we can conclude that:
A. X2 , X3 cannot be excluded from the model C. None of these above
B. X2 , X3 can be excluded from the model

Question 10: Given the linear regression equation as follow:

Y = 0,5334391 + 0,0798558X1 + ei
se 0,1358994
t 15,46
#
The t-statistic value of β1 and se(β2 ) is:
A. 3,93 and 0,0051642 B. 5,35 and 4,8302067 C. 7,76 and 2,9692015 D. 3,93 and 8,8319481

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Question 11: To test whether one independent variable has more impact on the mean of the
dependent variable than the other, the counter hypothesis is:
A. bi = b j B. bi < b j C. bi > b j D. Đáp án khác

Question 12: Given the following regression results:

wage Coef. Std. Err. t P>|t| [95% Conf. Interval]

age 20.16885 3.923236 5.14 0.000 12.46944 27.86826

black -182.6703 37.03254 -4.93 0.000 -255.3472 -109.9934
educ 55.56984 5.638564 9.86 0.000 44.50407 66.63561
_cons 2065.76 152.7506 13.52 0.000 1765.985 2365.536

Given cov( b! black , b! educ ) = 37.590. The value of se( b! black - b! educ ) is:
A. 1328.022 B. 38.450 C. 37.459 D. 36.442

Question 13: The estimated variance of the coefficient increases, the t-statistic will:
A. Decrease C. stay unchanged
B. Increase D. Can’t conclude

Used the following information for questions 14-16

The model is estimated using 142 observations
Y = -12.3 + 0.32X2i + 0.043X3i – 0.005X4i + 0.0035X5i + ui
Se 6.89 0.15 0.078 0.0047 0.0022
p-value 0.07644 0.03468 0.58234 0.28928 0.11292 R2 = 0.0395

Question 14: What can we say about the coefficient of X5i ? (considering 2-sided test)
A. X5i increases by 1 unit then Y increases by 0.0035 on average while the others X stay the same. But this
is not statistically significant at the 5% level.
B. X5i increases by 1 unit then Y decreases by 0.0035 on average while the others X stay the same. This is
statistically significant at the 5% level.
C. X5i increases by 1 unit then Y increases by 0.0035 on average and this is statistically significant at the
1% significance level.
D. The coefficient X5i is statistically significant at the 5% level but not at the 1% level.

Question 15: The model now includes the variables X2i and X3i . We get R2 = 0.0387. Value of F-
statistic for the hypothesis test H0 : β2 = β3 = 0 is:
A. 32.821 B. 0.0570 C. 0.0808 D. Not enough information to calculate

Question 16: What can we say about the coefficient of X2i (considering the 2-sided test):
A. It is statistically significant at both 5% and 1% significance levels.
B. It is statistically significant at 1% significance level
C. It is statistically significant at the 1% level but not at 5% level
D. It is statistically significant at the 5% level but not at 1% level

Used the following information for questions 17 - 22

Use sample data to estimate the dependence of wage (units: dollars) on years of experience (unit: years),
years of education (units: years), indicators IQ and the number of siblings in the house (unit: person) having
the following result:

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Question 17: The value of the coefficient of exper is:

A. 17.1867 B. 29.9401 C. 12.9249 D. 16.5304

Question 18: The variance of educ has a value of:

A. 7.105801 B. 40.04911 C. 50.49241 D. 20.19869

Question 19: The t-statistic value in the two-sided test of the variable iq is:
A. 7.02 B. 5.00 C. - 1.96 D. -3.81

Question 20: Is gaining 1 year of experience more effective than increasing 1 year of schooling in
improving wages? Given cov(β2 , β3 ) = 9.068, critical value c = 1.64
A. More effective B. No more effective C. Cannot determine

Question 21: Is the number of siblings in the house significant?

A. Statistically significant at the 5% level
B. Statistically significant at the 10% level
C. Statistically significant at 5% but not at the 10% level
D. Statistically insignificant at both 5% and 10% levels

Question 22: The meaning of the slope of the variable educ is:
A. When other factors remained unchanged, a 1-year increase in school attendance results in a 56,8143%
increase in average wages.
B. When other factors remained unchanged, a 1-year increase in school attendance results in a 56,8143
USD increase in average wages.
C. When other factors remained unchanged, years of schooling increased by 1%, resulting in a 56,8143%
increase in wages.
D. When other factors remained unchanged, years of schooling increased by 1%, resulting in a 56,8143
USD increase in wages.

Used the following information for questions 23 - 27

Using sample data to estimate the dependence of an infant's weight bwghtlbs (unit: pound) on the
number of cigarettes smoked per day of mothers cigs (unit: cigarettes), the order in which they were
born parity, the family income faminc (unit: thousand USD) and the number of school years of the
father fatheduc (unit: year), we have the following results:

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Question 23: The regression coefficient of the parity variable is valued as:
A. 0.74019 B. 0.11582 C. 0.81921 D. 0.30812

Question 24: The t-statistic of the fatheduc variable is:

A. 4.23 B. -1.58 C. 1.27 D. 3.64

Question 25: The value of the model's degree of freedom is:

A. 1186 B. 1187 C. 1188 D. 1189

Question 26: The confidence interval for the faminc variable is:
A. -0.8591043; 3.8467592 C. -1.7653926; 3.0142989
B. 4.5827013; 7.1048513 D. -0.0013838; 0.0074048

Question 27: The model's coefficient of determination is equal to:

A. 0.0345 B. 0.9655 C. 0.0378 D. 0.5629

Question 28: The confidence interval has properties:

A. The left-sided confidence interval is used to estimate the maximum value of the regression coefficient
B. The right-sided confidence interval is used to estimate the minimum value of the regression coefficient
C. The bigger the interval is, the smaller the significance is
D. All of these above

Question 29: With reduced significance level, confidence interval widths will tend to:
A. Increase C. Stay unchanaged
B. Decrease D. All of these above

Question 30: With increased confidence level, confidence intervals will tend to:
A. Increase C. Stay unchanaged
B. Decrease D. All of these above

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CHAPTER 5: THE ASSUMPTION VIOLATIONS OF THE MODEL

Question 1: Multicollinearity occurs when:

A. The model has many explanatory variables
B. The dependent variable is represented by a linear combination of the remaining variables
C. 1 explanatory variable is represented by a linear combination of the remaining variables
D. None of these above

Question 2: In the auxiliary model of Park test, the value used as the dependent variable is:
A. ei B. ln(e2i ) C. e2i D. No correct answer

Question 3: In the White test, Chi-squared statistic is 1,339 with the corresponding p-value of 0,512,
using the significance level of 0.05. We conclude that:
A. There exists heteroskedasticity C. Not enough information to conclude
B. There exists homokedasticity

Question 4: The variance of estimates is smaller as:

A. the smaller the sample size C. the larger the sample size
B. the greater the relationship between the independent variables D. None of these above

Question 5: In the Durbin - Watson test, if d- statistic is in the range dU to 4 - dU, the conclusion is:
A. There is positive autocorrelation C. There is no autocorrelation
B. There is negative autocorrelation D. Have not yet concluded

Question 6: What type of data that does NOT need to test for disturbance’s autocorrelation?
A. Time series data B. Cross- sectional data C. Panel data D. Have not yet concluded

Question 7: If there is a negative autocorrelation, which of the following values would be suitable for
d of Durbin - Watson?
A. Nearly 0 B. Nearly 1 C. Nearly 2 D. Nearly 4

Question 8:There is the test result of the normal distribution of disturbance with Chi2 = 15.05 and
p-value respectively 0.0005. We can conclude that:
A. Disturbace has a normal distribution C. None of these above
B. Disturbace doesn’t have a normal distribution

Question 9: The model has a correlation matrix table as follows:

X1 X2 X3
X1 1
X2 0.84243 1
X3 0.94565 0.93457 1
The above model has a phenomenon of:
A. Multicollinearity B. Autocorrelation C. Heteroskedasticity D. None of these above

Question 10: In the RESET test with a significance level of 5%, we have the result Prob > F = 0.038,
concluding:
A. The model has omitted variables B. The model has no omitted variables C. Not yet concluded

Question 11: In the White test, if the original model has 2 independent variables, how many
independent variables are there in the auxiliary model:
A. 5 B. 11 C. 6 D. None of these above

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Question 12: Given the function as follows: Yi = β0 + β1 X1 + β2 X2 + β3 X3 + ui

VIF X1 16.55
X2 38.86
X3 45.09
Does the model have any problems?
A. Autocorrelation C. Disturbance without standard distribution
B. Multicollinearity D. No problems

Question 13: Given the model: Yt = β1 + β2 Xt + Yt-1 + ut . To test for autocorrelation problem, we use:
A. Durbin-Watson statistic B. BG test C. d-statistic or BG test

Question 14: Which of the following conditions are required for Durbin-Watson test to be
significant?
(i) The regression function must have an intercept (iii) There is no lag dependent variable in the model
(ii) The independent variables are not randomly taken (iv)There is no lag independent variable in the model
A. (i), (ii) and (iii) B. (i) and (ii) C. All of those D. (i), (ii) and (iv)

Question 15: What is NOT a cause of autocorrelation problem?

A. Lags B. Coweb phenomenon C. Exotic observations D. All of these above

Question 16: Assume the model has a first degree autocorrelation with an autocorrelation coefficient
ρ = 0.4. When fixed, Xt should be transformed into:
A. 0,4Xt B. 0,6Xt C. Xt – 0,4Xt-1 D. 0,6Xt – 0,4Xt-1

Question 17: Suppose that estimating the model Yi = β1 + β2X2i + β3X3i + ui but the variance of ui is
proportional to X22 . To find the GLS estimate we regress:
A. Y based on an intercept, 1/X2 and X3/X2
B. Y/X2 based on 1/X2 and X3/X2
C. Y/X2 based on an intercept, 1/X2 and X3/X2
D. Can’t determine due to unknown ratio between var(ui) and X22

Question 18: Which of the following problems is found only in the multiple regression model?
A. Heteroskedasticity B. Multicollinearity C. Autocorrelation D. Omitted-variable bias

Question 19: How to fix the problem of disturbance without standard distribution?
A. Add independent variables C. Increase the sample size
B. Change the model D. None of these above

20. Which problem can Robust regression fix?

A. Multicollinearity B. Heteroskedasticity C. Autocorrelation D. None of these above

21. Which following method is not used to fix Multicollinearity?

A. Omitt 1 explanatory variable C. Change 2 explanatory variables to 1 ratio
B. Change data to logarithm D. Collect more data for each variable

Question 22: Given regression equation Yi = β0 + β1 X1 + β2 X2 + β3 X3 + ui . Using White test to detect

heteroskedasticity, how many parameters in the auxiliary model?
A. 6 B. 7 C. 9 D. 10

Question 23: Which of the following does not result from imperfect multicollinearity?
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A. OLS estimators are sensitive to changes in data

B. Variance and Standard Error of estimator is big
C. Ineffective forecast
D. Small t statistic may result in the conclusion of rejecting H0 without enough bases.

Question 24: Given White test with a significance of 10%, does the model consist of
heteroskedasticity?

A. No B. Yes C. Can’t conclude

Question 25: Given the result of Breusch-Godfrey test. With the confidence level of 95%, does the
model have autocorrelation?

A. No B. Yes C. Can’t conclude

Question 26: If the d-statistic of Durbin-Watson test approaches 0, the value of primary correlation
coefficient:
A. Approaches 0 B. Approaches 1 C. Approaches 1 or -1 D. Approaches -1

Question 27: One of the evidences of multicollinearity is:

A. There’s not so many changes in estimators when removing a dependent variable from the model
B. The value of t corresponding important variables are huge
C. Variance matrix – covariance consists of small values
D. None of these above

Question 28: If a model contains autocorrelation, this error:

A. Makes the OLS estimators biased C. Makes OLS estimation impossible
B. Makes the variance of OLS estimators not the smallest D. Both A and B are correct

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