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covariance

June 29, 2019/in Questions Uploads /by admin

Which of the following is not required for a series to be covariance stationary?

E( y_t )=μ for all t

E( y_t – μ )( y_t – μ )= σ² < ∞

E( y_r – μ )( y_s – μ )= χ_r-s for all r, s

y_t has a normal distribution for all t.

Which of the following is not true about the Q test?The statistic Q has a normal distribution under the null hypothesis.Q uses the sample size.Q has a χ² distributionQ is inferior to Q*.
Why are econometricians concerned about the normality of residuals?The assumption of normality is traditional.If residuals are not normal, the disturbance term may not have a zero mean.Non-normality will cause biased coefficient estimates.The assumption of normality is needed to assess the significance of coefficient estimates.