【答案】《高級計(jì)量經(jīng)濟(jì)學(xué)》(廈門大學(xué))期中期末慕課答案

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選項(xiàng)：

A、

B、

C、

D、Alltheabovestatementsarecorrect.

答案：【Alltheabovestatementsarecorrect.】2.單選題：Whichstatementisnottrue?

選項(xiàng)：

A、If,then

B、If,then.

C、

D、

答案：【If,then.】3.單選題：Whichstatementisnottrue?

選項(xiàng)：

A、implies

B、implies

C、implies

D、implies

答案：【implies】4.單選題：Letbearandomvector.Whichstatementisnottrue?

選項(xiàng)：

A、iff

B、iff

C、iff

D、iff

答案：【iff】5.單選題：isacontinuousfunction.Whichstateisnottrue?

選項(xiàng)：

A、

B、

C、

D、

答案：【】6.單選題：ThestrictexogeneityconditioninChapter3isnotsuitablefor_______.

選項(xiàng)：

A、i.i.d.data

B、statictimeseriesmodel

C、dynamictimeseriesmodel

D、regressionmodelswithnonstochastic

答案：【dynamictimeseriesmodel】7.單選題：ChoosetheassumptionthatisnotrequiredfortheconsistencyofOLSestimator:for

選項(xiàng)：

A、[Linearity]:

B、CorrectModelSpecification:

C、[Nonsingularity]:isnonsingularandas

D、[SphericalErrorVariance]:and,for

答案：【[SphericalErrorVariance]:and,for】8.單選題：ForastationaryAR(1)model,,where.Then

選項(xiàng)：

A、5

B、1.25

C、25/16

D、25/9

答案：【25/9】9.單選題：ThefinitesampletheorydiscussedinChapter3isapplicablefor_________.

選項(xiàng)：

A、amodelwithnonstochastic.

B、AR(1)model

C、dynamictimeseriesmodel

D、Alloftheabove.

答案：【amodelwithnonstochastic.】10.單選題：TheasymptotictheorydiscussedinChapter4isapplicablefor_______.

選項(xiàng)：

A、i.i.dcross-sectionaldata.

B、Timeseriesdatawithserialcorrelation.

C、Timeseriesdatawithoutserialcorrelation.

D、Noneoftheabove.

答案：【i.i.dcross-sectionaldata.】11.單選題：WhichofthefollowingisNOTtrueabouttheprojectionmatrix?

選項(xiàng)：

A、

B、

C、

D、isanidempotentmatrix

答案：【】12.單選題：Foralinearregressionmodel,whenissingular,_______?

選項(xiàng)：

A、theOLSestimatordoesnotexist

B、thereareinfinitelymanyOLSestimators

C、theOLSestimatorisconsistent

D、theOLSestimatorisasymptoticallynormallydistributed

答案：【thereareinfinitelymanyOLSestimators】13.單選題：Whichisacriteriontoselectthebettermodelbetweentwolinearregressionmodelswithdifferentnumberofexogenousvariables?

選項(xiàng)：

A、AIC

B、

C、SSR

D、theOLSestimator

答案：【AIC】14.單選題：Foralinearregressionmodel,whichassumptionisrequiredfortheuniquenessoftheOLSestimator?

選項(xiàng)：

A、strictexogeneity

B、isnonsingular

C、conditionalhomoskedasticity:

D、conditionalnon-autocorrelation

答案：【isnonsingular】15.單選題：Foralinearregressionmodelwithi.i.d.sample:,underconditionalheteroskedasticity,usuallywhichofthefollowingstatementdoesnotholdorisnotapplicable:

選項(xiàng)：

A、theunbiasednessoftheOLSestimator

B、consistency

C、asymptoticallynormal

D、thestandardtest

答案：【thestandardtest】16.單選題：Foralinearregressionmodelwithi.i.d.sample:,underconditionalheteroskedasticity,usuallywhichofthefollowingstatementdoesnothold:

選項(xiàng)：

A、OLSestimatoristhebestlinearunbiasedestimator

B、consistency

C、asymptoticnormal

D、arobusttestshouldbeused,ratherthanthestandardtest

答案：【OLSestimatoristhebestlinearunbiasedestimator】17.單選題：Giventhefollowingstatistics:,,,,theestimatedis

選項(xiàng)：

A、0.4

B、0.6

C、0.48

D、0.52

答案：【0.4】18.單選題：ForthestandardF-test,whichstatementiscorrect?

選項(xiàng)：

A、thestandardF-testshouldnotbeusedunderheteroskedasticity.

B、thestandardF-testshouldnotbeusedintestingasinglerestriction.

C、thestandardF-testisapplicablewhenerrortermsshowserialcorrelation

D、thestandardF-testshouldnotbeusedwhenregressorsshownear-mulcollinearity.

答案：【thestandardF-testshouldnotbeusedunderheteroskedasticity.】19.單選題：Forthet-test,whichstatementiscorrect?

選項(xiàng)：

A、at-teststatisticscanneverbenegative.

B、at-testonlyappliestotwo-sidetest.

C、thedegreeoffreedomisnotthatimportantwhenthenumberofobservationsislarge.

D、thedegreeoffreedomisalwaysimportantnomatterthenumberofobservationsislargeornot.

答案：【thedegreeoffreedomisnotthatimportantwhenthenumberofobservationsislarge.】20.單選題：Supposethetruemodel,whereandareexogenousvariables.However,weestimatethemodel.whichofthefollowingstatementiscorrect?

選項(xiàng)：

A、isoverestimated.

B、cannotbeconsistent.

C、canbeconsistentwhenandareuncorrelated.

D、Noneoftheabove.

答案：【canbeconsistentwhenandareuncorrelated.】21.單選題：WhichofthefollowingassumptionisNOTrequiredinChapter4?

選項(xiàng)：

A、isanobservablei.i.drandomsample.

B、Linearity,i.e.,for

C、

D、

答案：【】22.單選題：Giventhefollowingmodel,theOLSis_______.

選項(xiàng)：

A、

B、,where

C、,where

D、,whereand

答案：【,where】23.單選題：Whichofthefollowingistrueaboutergodicity?

選項(xiàng)：

A、Ergodicityisanotionofasymptoticindependence.

B、Astrictlystationaryprocessthatisergodiciscalledergodicstationary.

C、Animportantimplicationofergodicityisthatthestatisticalproperties(suchasthepopulationmeanandvariance)oftheergodictimeseriesprocesscanbededucedfromasingle,sufficientlylongsample(realization)oftheprocess.

D、Alloftheabove.

答案：【Alloftheabove.】24.單選題：FinitesampletheoryisthecentraltopicofChapter________.

選項(xiàng)：

A、3

B、4

C、5

D、Noneoftheabove.

答案：【3】25.單選題：InChapter3,whichofthefollowingconditionsisnotimpliedbythenonsingularityof?

選項(xiàng)：

A、

B、hasfullcolumnrank

C、forany,

D、minimumeigenvalueofis

答案：【forany,】26.單選題：InChapter3,whichofthefollowingconditionsisnotequivalenttothatisnonsingular?

選項(xiàng)：

A、thedeterminant

B、hasfullcolumnrank

C、hasfullrank

D、minimumeigenvalueofis

答案：【hasfullrank】27.單選題：InChapter5,foralinearregressionmodel:,whichassumptionisnotnecessaryfortheconsistencyoftheOLSestimator?

選項(xiàng)：

A、isjointlystationaryandergodic.

B、

C、hasfullrankandisfinite.

D、hasfullrankandisfinite.

答案：【hasfullrankandisfinite.】28.單選題：Foralinearregressionmodelwithi.i.d.sample:,whichassumptionisnotnecessaryfortheconsistencyoftheOLSestimator?

選項(xiàng)：

A、isnormallydistributed

B、

C、forall

D、Noneoftheaboveconditions

答案：【isnormallydistributed】29.單選題：Foralinearregressionmodelwithi.i.d.sample:,whichassumptionisnotnecessaryfortheconsistencyoftheOLSestimator?

選項(xiàng)：

A、

B、conditionalhomoskedasticity

C、forall

D、Noneoftheaboveconditions

答案：【conditionalhomoskedasticity】30.單選題：Foralinearregressionmodel,whichassumptionisnotrequiredfortheGauss-Markovtheorem?

選項(xiàng)：

A、strictexogeneity

B、isnonsingulara.s.

C、conditionalhomoskedasticity:

D、

答案：【】31.單選題：Considerthefollowingdatageneratingprocess(DGP)whereandaremutuallyindependent.ThebestlinearLSpredictoris:

選項(xiàng)：

A、

B、

C、

D、

答案：【】32.單選題：Supposeiswageandisagenderdummyvariable,takingvalue1ifanemployeeisfemaleandvalue0ifanemployeeismale.WhichofthefollowingisNOTcorrect,regardingtheinterpretationoftheconditionalexpectation?

選項(xiàng)：

A、canbeinterpretedastheaveragewageofafemaleworker

B、canbeinterpretedastheaveragewageofamaleworker

C、

D、

答案：【】33.單選題：Toavoidcompletemulticollinearity,forany,werequire.

選項(xiàng)：

A、正確

B、錯誤

答案：【錯誤】34.單選題：Inalinearregressionmodelwithiiddata,thestandardjointsignificanceFtestisusedtotestalltruecoefficientsofthemodelare0.

選項(xiàng)：

A、正確

B、錯誤

答案：【錯誤】35.單選題：Strictexogeneityusuallydoesnotholdfordynamictimeseriesmodels.

選項(xiàng)：

A、正確

B、錯誤

答案：【正確】36.單選題：Forarandomvectorwithandarandomvariablewith,theremustbeasuchthat.

選項(xiàng)：

A、正確

B、錯誤

答案：【正確】37.單選題：Strictstationarityimpliesweakstationarity.

選項(xiàng)：

A、正確

B、錯誤

答案：【錯誤】38.單選題：Aniidprocessisbothweaklystationaryandstrictlystationary.

選項(xiàng)：

A、正確

B、錯誤

答案：【錯誤】39.單選題：Awhitenoiseprocessisweaklystationary.

選項(xiàng)：

A、正確

B、錯誤

答案：【正確】40.單選題：Ifisi.i.d.withfinitesecondordermoments,thenitisawhitenoise.

選項(xiàng)：

A、正確

B、錯誤

答案：【錯誤】41.單選題：Aunitrootprocessmightnotbeweaklystationary.

選項(xiàng)：

A、正確

B、錯誤

答案：【正確】42.單選題：TheGauss-Markovtheoremdoesnotrelyonthenormaldistributionassumptionof.

選項(xiàng)：

A、正確

B、錯誤

答案：【正確】43.單選題：arei.i.d.randomvariableswith,but,westillhavetheweaklawoflargenumbers:.

選項(xiàng)：

A、正確

B、錯誤

答案：【正確】44.單選題：Ifisastrictlystationarymartingaledifferencesequence,theniswhitenoise.

選項(xiàng)：

A、正確

B、錯誤

答案：【錯誤】45.單選題：Fori.i.dsample,theconventionaltandFteststatisticsarestillapproximatelyvalid.

選項(xiàng)：

A、正確

B、錯誤

答案：【錯誤】46.單選題：Convergenceinprobabilityimpliesconvergenceindistribution.

選項(xiàng)：

A、正確

B、錯誤

答案：【正確】47.單選題：Foriidsample,whenthestronglawoflargenumbershold,thecentrallimittheoremalsoholds.

選項(xiàng)：

A、正確

B、錯誤

答案：【錯誤】48.單選題：InChapter4,isvitalfortheconsistency:.

選項(xiàng)：

A、正確

B、錯誤

答案：【正確】49.單選題：Foralinearmodel,theOLSestimatoris.

選項(xiàng)：

A、正確

B、錯誤

答案：【錯誤】50.單選題：Foralinearmodelwithiidsample,correctmodelspecificationisequivalenttostrictexogeneityassumption,i.e.,.

選項(xiàng)：

A、正確

B、錯誤

答案：【正確】51.單選題：Amartingaledifferenceprocessmightnotbestrictlystationary.

選項(xiàng)：

A、正確

B、錯誤

答案：【正確】52.單選題：Amartingaleprocessmightnotbestrictlystationary.

選項(xiàng)：

A、正確

B、錯誤

答案：【正確】高級計(jì)量經(jīng)濟(jì)學(xué)（廈門大學(xué)）期末考試期末測試1.單選題：Whenthedependentvariableiscensored,whichofthefollowingmodelsmightbeapplicable?

選項(xiàng)：

A、linearregression

B、Probitmodel

C、logisticregression

D、Tobitmodel

答案：【Tobitmodel】2.單選題：Whichestimatorispositivesemi-definite?

選項(xiàng)：

A、longrunvariance-covarianceestimator

B、OLS

C、NeweyandWest(1987)HACestimator

D、tteststatistic

答案：【NeweyandWest(1987)HACestimator】3.單選題：Supposethetruemodel,whereandareexogenousvariables.However,weestimatethemodel.whichofthefollowingstatementiscorrect?

選項(xiàng)：

A、isoverestimated.

B、cannotbeconsistent.

C、canbeconsistentwhenandareuncorrelated.

D、Noneoftheabove.

答案：【canbeconsistentwhenandareuncorrelated.】4.單選題：WhichisNOTarequirementforIV?

選項(xiàng)：

A、

B、

C、isfiniteandnonsingular

D、isfiniteandoffullrank

答案：【】5.單選題：Whichofthefollowingistrueaboutergodicity?

選項(xiàng)：

A、Ergodicityisanotionofasymptoticindependence.

B、Astrictlystationaryprocessthatisergodiciscalledergodicstationary.

C、Animportantimplicationofergodicityisthatthestatisticalproperties(suchasthepopulationmeanandvariance)oftheergodictimeseriesprocesscanbededucedfromasingle,sufficientlylongsample(realization)oftheprocess.

D、Alloftheabove.

答案：【Alloftheabove.】6.單選題：EndogeneityisthecentraltopicofChapter_______.

選項(xiàng)：

A、6

B、7

C、9

D、Noneoftheabove.

答案：【7】7.單選題：Withendogenousregressors,usualltywhichestimatorisinconsistent?

選項(xiàng)：

A、OLS

B、IV

C、2SLS

D、GMM

答案：【OLS】8.單選題：WhichisnotareasonfortheinconsistencyofanOLSestimatorforalinearregressionmodel?

選項(xiàng)：

A、measurementerrorsinthatareindependentwithanyothervariablesinthemodel

B、measurementerrorsinthatareindependentwithanyothervariablesinthemodel

C、omittingsomeimportantvariablesthatarecorrelatedwithsomeregressors

D、theestimationofasubsetofasimultaneousequationsystem

答案：【measurementerrorsinthatareindependentwithanyothervariablesinthemodel】9.單選題：WhichisareasonfortheinconsistencyofanOLSestimatorforalinearregressionmodel?

選項(xiàng)：

A、measurementerrorsinthatareindependentwithanyothervariablesinthemodel

B、measurementerrorsinthatareindependentwithanyothervariablesinthemodel

C、conditionalheteroskedasticity

D、conditionalserialcorrelation

答案：【measurementerrorsinthatareindependentwithanyothervariablesinthemodel】10.單選題：As,theinthekernelofanHACestimatorhastosatisfy

選項(xiàng)：

A、,

B、,

C、,

D、,

答案：【,】11.單選題：Ifisani.i.d.randomsampleofsizefromthefollowingdistribution:.WeconsidertheGMMestimatorbasedonboththefirstordermomentandthesecondordermoment.Whatistheasymptoticvarianceof?

選項(xiàng)：

A、

B、

C、

D、

答案：【】12.單選題：Whichtestisbasedonboththeunrestrictedestimatorandtherestrictedestimator?

選項(xiàng)：

A、Waldtest

B、White'stest

C、likelihoodratiotest

D、Lagrangemultipliertest

答案：【likelihoodratiotest】13.單選題：ThefinitesampletheoryofOLSisthecentraltopicofChapter_______.

選項(xiàng)：

A、2

B、3

C、7

D、9

答案：【3】14.單選題：Inatimeseriesregressionmodel,supposetheerrortermsareiid.Ifisanendogenousvariable,usuallywhichofthefollowingcanbeanIVfor?

選項(xiàng)：

A、itself

B、

C、

D、

答案：【】15.單選題：WhichofthefollowingisNOTacorrectexpressionforthe2SLSestimator?

選項(xiàng)：

A、

B、

C、

D、

答案：【】16.單選題：Ifasequenceofrandomfunctionsconvergestoanonstochasticcontinuousfunctioninprobabilityuniformlyovertheparameterspaceof,and.Whichofthefollowingiscorrect?

選項(xiàng)：

A、

B、

C、

D、Alloftheabove

答案：【Alloftheabove】17.單選題：TheHaussmantestistotest

選項(xiàng)：

A、thejointsignificanceofallvariables(excepttheinterceptterm)

B、whetherIVsarevalid

C、conditionalheteroskedasticity

D、noneoftheabove

答案：【noneoftheabove】18.單選題：Forlinearregressionmodels,the2SLSestimatorisefficientwhen_______.

選項(xiàng)：

A、thereisnoendogeneity

B、wehavei.i.d.dataandconditionalhomoskedasticity

C、wehavei.i.d.withconditionalserialcorrelation

D、noneoftheabovestatementsarecorrect

答案：【wehavei.i.d.dataandconditionalhomoskedasticity】19.單選題：WhichofthefollowingissueisGMMusedtosolve?

選項(xiàng)：

A、identification

B、therearemoreparametersthanmomentconditions

C、therearemoremomentconditionsthanparameters

D、thevarianceestimationofunderconditionalheteroskedasticityandserialcorrelation

答案：【therearemoremomentconditionsthanparameters】20.單選題：Whichofthefollowingtestsisusedtotestwhetherinstrumentalvariablesarevalid,whentherearemoreIVsthanparameters?

選項(xiàng)：

A、Jtest

B、ttest

C、White'stest

D、Hausman'stest

答案：【Jtest】21.單選題：ForMLE,undersomeregularityconditions,theasymptoticvarianceisequaltotheinformationmatrix.

選項(xiàng)：

A、正確

B、錯誤

答案：【錯誤】22.單選題：Toestimateabinarychoicemodel,wecanuseaLogisticregressionmodel.

選項(xiàng)：

A、正確

B、錯誤

答案：【正確】23.單選題：Withmorecorrectmomentconditions,theasymptoticvarianceofanGMMestimatorwillneverincrease.

選項(xiàng)：

A、正確

B、錯誤

答案：【錯誤】24.單選題：Forsomemodels,MLEandthemethodofmomentestimatorareidentical.

選項(xiàng)：

A、正確

B、錯誤

答案：【正確】25.單選題：Foralinearmodel,the2SLSestimatoris,whereistheprojectionofonthecolumnspaceoftheIVmatrix.

選項(xiàng)：

A、正確

B、錯誤

答案：【正確】26.單選題：Foriiddata,foralinearregressionmodelwithendogenousvariables,2SLSisthemostefficientestimator.

選項(xiàng)：

A、正確

B、錯誤

答案：【錯誤】27.單選題：Underregularityconditions,evenifisanendogenousvariable,wecanfindasuchthat.

選項(xiàng)：

A、正確

B、錯誤

答案：【正確】28.單選題：Consideranearningdatageneratingprocess,whereandareexperienceandeducationrespectively.Supposethatisindependentwith,,and.Theabilityisnotobservable,andthusweconsiderthefollowingregressionmodel:.ThenusuallytheOLSoverestimates.

選項(xiàng)：

A、正確

B、錯誤

答案：【正確】29.單選題：Iftherearebothmeasurementerrorsinand,OLSestimatorisusuallyinconsistent.

選項(xiàng)：

A、正確

B、錯誤

答案：【正確】30.單選題：Theinthelongrunvariance-covarianceesti