3981/23, 1:46 PM ‘Advanced Econometics ICA Test Advanced Econometrics ICA Test II Email * naitik. shah85@nmims.edu.in ‘An ARCH model is used in cases when * © The error terms are auto correlated © The model exhit © Model exhibits periods of large volatility followed by a period of tranquility © Model exhibits seasonality Akey feature of a deterministic trend in contrast to a stochastic trend is that * © The series is non-stationary, © The effect of a shock on the series is permanent. © The series can be de-trended through differencing. © The series will return to its trend in case of above average or below average growth. hitpsiidocs.google.comformslel FAlpOLSd iRnwRJAEXDIKE|SeDel6sEQAOxYrx5zy_ SL OKWUIKXatAViewscore viewscore=AEOZAGBO37+0... 1/73181/23, 1:46 PM ‘Advanced Economettics ICA Test I Assume that Interest rates in India can be modeled using an AR (1) process. If the * interest rates in the years 2019, 2020, 2021 and 2022 were 5.2%, 5.8%, 5.9% and 5.5% respectively, what would be the forecast error for interest rates in 2023 if the forecast value for 2023 is 5.4% and the actual realization is 5.3%? O 02 Oo @ 01 O 02 A bakery witnesses high sales every year during the months of December and * February. Its sales have been exponentially increasing for the past seven years. The monthly data of the sales of this bakery for the last seven years is most likely to have which of the following features? You may choose more than one option ‘Trend component Seasonal Component Stationarity ARCH process Assume that the quarterly State Gross Domestic Product (SGDP) for Jharkhand is * a pure seasonal Moving Average process. Its ACF will exhibit which of the following behaviours? © ACF decays after the fourth lag. © ACF decays at lags 4, 8, 12, ete. © ACE exhibits a spike at lag 4 and all other correlations are 0. © ACF becomes 0 at lag 4. hitpsildocs. google. comformslel FAlpOLSd iRnwRJAEXDIKE|SeDel6sEQA0xYrx5zy_SLOKWUIKXatAViewscore viewscore=AEOZAGBO3740.... 2/73981/23, 1:46 PM ‘Advanced Econometics ICA Test Which of the following is NOT a property of a GARCH model? * © Unconditional expectation of the error term is 0. © Conditional expectation of the error term is 0. © Conditional variance of the error term is constant. © Conditional variance of the error term can be expressed as an ARMA process. The graph of the squared residuals from the time series process for TCS stocks * shows that there are no spikes in the ACF, while there is a single spike in the PACF at lag 1. The stock price of TCS is likely to be presented by which of the following processes? © aR (1) model O MA (1) model © GARCH (1,0) model ©@ GARCH (0,1) model The fundamental difference between the Dickey Fuller and Augmented Dickey * Fuller (ADF) test is that © The ADF includes a trend component © The ADF includes a drift component © The ADF includes lagged values of the time series © The ADF includes lagged values of both the series and the stochastic disturbances Correct answer © The ADF includes lagged values of the time series hitpsildocs. google. comformsel FAlpOLSd iRnwRJAEXDIKE|SeDel6sEQAOxYrx5zy_ SL OKWuIKXatAiewscore viewscore=AEOZAGB03740... SIT3181/23, 1:46 PM ‘Advanced Economettics ICA Test I Plot 1 Series: x 02 0.4 ACF 0.0 0.1 i 02 02 0.4 PACF 0.0 0.4 0.2 To check for stationarity of global oil prices, the Dickey Fuller test is implemented. * The p-value for the test on the levels comes out to be 0.0002, while the p-value for the first difference of the series comes out to be equal to 0.47. This implies that global oil prices are: Om O1@ O10 hitpsiidocs.google.comformslel FAlpOLSd iRnwaRJAXDIKE|SeDel6sEQA0xYrx5zy_ SL OKWUIKXatAiewscore viewscore=AEOZAGBO3740.... 4/73181/23, 1:46 PM ‘Advanced Economettics ICA Test I Assume that you are interested in understanding the relationship between growth * and employment in China. If China's GDP is found to be I(1) and unemployment is 1(2), then (you may choose multiple options) A linear combination of the two could be | (0) If they are both regressed at levels, then it may lead to a spurious regre One should not regress them against each other in any form A linear combination of them could be | (1) Plot 2 Series: x42 J st 3 & £34 a I fi 8 wt 3 1 1 1 1 1 oO 5 10 15 20 25 LAG ol 3 =| 3 & 4 £37 | = wf 3 1 1 1 1 1 o 5 10 15, 20 25 hitpsildocs.google.comformslel FAlpOLSd iRnwnRJAEXDIKE|SeDel6sEQAOxYrx5zy_ SL OKWuIKXatAiewscore viewscore=AEOZAGB03740.... SIT3181/23, 1:46 PM ‘Advanced Economettics ICA Test I Which of the following statements are likely to be correct based on the given * Plots 1 and 2 for a time series process x? You may choose multiple options xis an ARMA model of the order (1, 0, 1) xis a GARCH model of the order (1,1) (] xis an ARCH model of the order (1) x is an ARMA model of the order (0,0,0) Amodel (1,1,1) (0,1,1)12 does NOT have which of the following features? * © Is monthly data © Integrated of order 1 ©@ Has a seasonal AR (1) component © Has a nor-seasonal MA (1) component Name * Roll number Division Naitik Shah, A035, Division: A This form was created outside of your domain, -Iesms of Sewvice - Privacy Policy Google Forms tps sidocs. google. comormsiael FAlpOLSd 1 RnwRJAEXDIKE|SeDel6sEQAOxYixSzy_6LOKwiIKXatAViewscore?viewscare=AEOZAgBO3740.3181/23, 1:46 PM ‘Advanced Econometrics ICA Test hitpsildocs. google. comformslel FAlpOLSd iRnwnRJAEXDIKE|SeDel6sEQAOxYrxSzy_SLOKWUIKXatAViewscore viewscore=AEOZAGBO3740.... 7/7