covariance

Risk Management Strategies section (IV)
June 29, 2019
estimated using ordinary least squares
June 29, 2019

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

E( yt )=μ for all t
E( yt – μ )( yt – μ )= σ2 < ∞
E( yr – μ )( ys – μ )= χr-s for all r, s
yt 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.
 
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