[2008] Topic 2: The Nature and Scope of Econometrics 相关习题（AIM2）

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AIM 2: Distinguish between the different types of data used for empirical analysis.

 

1、A dummy variable would best be used to measure the effect of which of the following?

1. The difference in implied volatility from one day to the next.
2. The difference in realized volatility from one day to the next.
3. The volatility of a stock on Mondays compared to that of other days.
4. Changes in a stock’s volatility on option expiration dates compared to other dates.

A) III and IV only.

B) II and III only.

C) I and III only.

D) I and II only.

[此贴子已经被作者于2009-6-24 15:17:06编辑过]

aianjie

1、  The correct answer is A

 

Changes attributable to a particular condition or day should be tested using a dummy variable.

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2、With respect to publicly available and privately purchased data, in estimating an econometric model, a researcher can use:

A) neither publicly available nor privately purchased data.

B) privately purchased but not publicly available data.

C) both publicly available and privately purchased data.

D) publicly available but not privately purchased data.

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2、The correct answer is C

 

Both types of data are used in econometric models.

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3、Another name for a qualitative variable is:

A) panel variable.

B) longitudinal variable.

C) dummy variable.

D) deterministic variable.

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3、The correct answer is C

 

To test the quality of an observation, a researcher would use a X = 0 or 1 variable that indicates whether a condition exists or not. One name for this type of variable is a dummy variable.

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4、A researcher has a sample of data concerning experienced investors for a given year. In the data is the number of years of experience of each investor and the number of option contracts each traded. This data would best be described as:

A) deterministic data.

B) time series data.

C) cross-sectional data.

D) specified data.

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4、The correct answer is C

 

Since it pertains to a given year and the relationship is between two variables for that year, it would be cross-sectional data.

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5、Greg Barns, FRM, and Jill Tillman, FRM, wish to test the specification of their econometric model. Barns suggests adding another independent variable and examining the statistics of its parameters and the effects on the other parameters. Tillman suggests rerunning the regression using logarithms of the data instead of the original data. Which, if either, falls under the heading of testing the specification of an econometric model?

A) Neither the suggestion of Barns nor that of Tillman.

B) Both the suggestion of Barns and that of Tillman.

C) The suggestion of Barns but not the suggestion of Tillman.

D) The suggestion of Tillman but not the suggestion of Barns.

aianjie

5、The correct answer is B

 

Both of the suggestions are methods for testing the specification of an econometric model. The point is to find if other variables have significant explanatory power and if the relationships are correctly measured