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Multiple Choice Test Bank Questions No Feedback - Chapter 4: y + X + X + X + U

This document contains 21 multiple choice questions about statistical concepts related to regression analysis such as hypothesis testing using F-tests, calculating regression coefficients, comparing regression models, and properties of the residual sum of squares, R-squared, and adjusted R-squared. Each question has a single correct answer denoted by an asterisk. The questions cover topics like the relationship between t-distributions and F-distributions, restrictions placed on null hypotheses for F-tests, and disadvantages of using adjusted R-squared for model selection.

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331 views

Multiple Choice Test Bank Questions No Feedback - Chapter 4: y + X + X + X + U

This document contains 21 multiple choice questions about statistical concepts related to regression analysis such as hypothesis testing using F-tests, calculating regression coefficients, comparing regression models, and properties of the residual sum of squares, R-squared, and adjusted R-squared. Each question has a single correct answer denoted by an asterisk. The questions cover topics like the relationship between t-distributions and F-distributions, restrictions placed on null hypotheses for F-tests, and disadvantages of using adjusted R-squared for model selection.

Uploaded by

Đức Nghĩa
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
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Download as DOC, PDF, TXT or read online on Scribd
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Multiple Choice Test Bank Questions No Feedback – Chapter 4

Correct answers denoted by an asterisk.

1. Consider a standard normally distributed variable, a t-distributed variable with d


degrees of freedom, and an F-distributed variable with (1, d) degrees of freedom.
Which of the following statements is FALSE?
(a) The standard normal is a special case of the t-distribution, the square of which is a
special case of the F-distribution.
(b) * Since the three distributions are related, the 5% critical values from each will be the
same.
(c) Asymptotically, a given test conducted using any of the three distributions will lead to
the same conclusion.
(d) The normal and t- distributions are symmetric about zero while the F- takes only
positive values.

2. If our regression equation is y = X + u, where we have T observations and k


regressors, what will be the dimension of ̂ using the standard matrix notation
(a) T  k
(b) T  1
(c) * k  1
(d) k  k

Question 3 refers to the following regression estimated on 64 observations:


yt = 1 + 2X2t + 3X3t + 4X4t + ut

3. Which of the following null hypotheses could we test using an F-test?


(i) 2 = 0
(ii) 2 = 1 and 3 + 4 = 1
(iii) 34 = 1
(iv) 2 -3 -4 = 1

(a) (i) and (ii) only


(b) (ii) and (iv) only
(c) (i), (ii), (iii) and (iv)
(d)* (i), (ii), and (iv) only

For question 4, you are given the following data

 1.3 2.1  1.4  1.6


1 
( X ' X )   2.1 0.8 1.9 ,( X ' y )  
 
 2.9 ,

  1 .4 1.9 3.4 
 
 0.8 

s 2  0.86, T  103

The regression equation is


yt = 1 + 2X2t + 3X3t + ut

4. Which of the following is the correct value for ̂ 1 ?


(a) * 2.89
(b) 1.30
(c) 0.84
(d) We cannot determine the value of ̂ 1 from the information given in the question

5. Consider the following regression estimated using 84 observations:


yt = 1 + 2X2t + 3X3t + 4X4t + ut

Suppose that a researcher wishes to test the null hypothesis: 2 = 1 and 3 + 4 = 1. The
TABULATED value of the F-distribution that we would compare the result of testing
this hypothesis with at the 10% level would be approximately
(a) 19.48
(b) 2.76
(c) * 2.37
(d) 3.11

6. What is the relationship, if any, between t-distributed and F-distributed random


variables?
(a) A t-variate with z degrees of freedom is also an F(1, z)
(b) * The square of a t-variate with z degrees of freedom is also an F(1, z)
(c) A t-variate with z degrees of freedom is also an F(z, 1)
(d) There is no relationship between the two distributions.

7. Which one of the following statements must hold for EVERY CASE concerning the
residual sums of squares for the restricted and unrestricted regressions?
(a) URSS > RRSS
(b) URSS  RRSS
(c) RRSS > URSS
(d) * RRSS  URSS

8. Which one of the following is the most appropriate as a definition of R2 in the context
that the term is usually used?
(a) It is the proportion of the total variability of y that is explained by the model
(b) * It is the proportion of the total variability of y about its mean value that is explained
by the model
(c) It is the correlation between the fitted values and the residuals
(d) It is the correlation between the fitted values and the mean.

9. Suppose that the value of R2 for an estimated regression model is exactly one. Which
of the following are true?
(i) All of the data points must lie exactly on the line
(ii) All of the residuals must be zero
(iii) All of the variability of y about is mean have has been explained by the model
(i) The fitted line will be horizontal with respect to all of the explanatory variables

(a) (ii) and (iv) only


(b) (i) and (iii) only
(c) * (i), (ii), and (iii) only
(i), (ii), (iii), and (iv)

10. Consider the following two regressions


y t   1   2 x 2t   3 y t 1  u t
y t   1   2 x 2t   3 y t 1  u t
Which of the following statements are true?
(i) The RSS will be the same for the two models
(ii) The R2 will be the same for the two models
(iii) The adjusted R2 will be different for the two models
(iv) The regression F-test will be the same for the two models

(a) (ii) and (iv) only


(b) * (i) and (iii) only
(c) (i), (ii), and (iii) only
(d) (i), (ii), (iii), and (iv).

11. Which of the following are often considered disadvantages of the use of adjusted R2
as a variable addition / variable deletion rule?
(i) Adjusted R2 always rises as more variables are added
(ii) Adjusted R2 often leads to large models with many marginally significant or
marginally insignificant variables
(iii) Adjusted R2 cannot be compared for models with different explanatory variables
(iv) Adjusted R2 cannot be compared for models with different explained variables.

(a) * (ii) and (iv) only


(b) (i) and (iii) only
(c) (i), (ii), and (iii) only
(d) (i), (ii), (iii), and (iv).

12. Which of these is a mathematical expression of the residual sum of squares?


(I) uˆ ' uˆ
(II)  uˆ1uˆ2 ...uˆT 
(III) uˆ1  uˆ2  ...  uˆT

(a) * I only
(b) I and II only
(c) I and III only
(d) I, II and III

13. If you are interested in conducting a multiple hypotheses test to determine whether
 2 and 3 are both unity for a regression y  1   2 x2   3 x3   4 x4  u , what would
the restricted regression be?
(a) y  1   4 x4  u
(b)  y  x2   1   2   3 x3   4 x4  u
(c)*  y  x2  x3   1   4 x4  u
(d)  y  x4   1   2 x2  3 x3  u

14. What would the restricted regression be if you are interested in testing the null
hypothesis H 0 :  2  0 and 3  0 against the alternative hypothesis H1 :  2  0 or 3  0
for a regression y  1   2 x2   3 x3   4 x4  u ,?
(a)* y  1   4 x4  u
(b)  y  x2   1   2   3 x3   4 x4  u
(c)  y  x2  x3   1   4 x4  u
(d)  y  x4   1   2 x2  3 x3  u

15. Assuming that the restricted sum of squares of the restricted regression in question 3
is 436.1 and the unrestricted sum of squares is 397.2, what would the conclusion of the
hypothesis test be? (The significance level is 5%)
(a)* Reject the null hypothesis
(b) Do not reject the null hypothesis
(c) Reject the alternative hypothesis
(d) Cannot say
16. Which of these statements is a characteristic of the stepwise regression procedure?
(I) It chooses the jointly most ‘important’ explanatory variable from a set of candidate
variables
(II) It can start with no variables in the regression and then it selects first the variable
with the lowest p-value
(III) It can start with no variables in the regression and then it selects first the variable
with the highest p-value
(a) I only
(b) II only
(c) III only
(d)* Both I and II

17. Trying many variables in a regression without basing the selection of candidate
variables on a financial or economic theory is popularly referred to as
(a) Data fitting
(b) Data clipping
(c)* Data mining
(d) None of the above

18. Why is R2 a commonly used and perhaps better measure of how well a regression
model fit the data than the residual sum of squares (RSS)?
(a) The RSS is often too large
(b) The RSS does not depend on the scale of the dependent variable whereas the R2 does
(c)* The RSS depends on the scale of the dependent variable whereas the R2 does not
(d) The RSS depends on the scale of the independent variable whereas the R2 does not

Use the following to answer questions 19 and 20.


Assuming you have two regression models yt  1   2 x2t   3 x3t  ut and
yt  1   2 x4t   3 x5t  vt .

19. How can the two models be validly compared to determine the model that better
represents the data yt?
(a) By observing their respective R2
(b) By observing their respective Adjusted R2
(c) By estimating an encompassing or hybrid model
(d)* All of the above

20. What is the relevant encompassing model required to compare the two regression
models?
(a)* yt   1   2 x2t   3 x3t   4 x4t   5 x5t  wt
(b) yt   1   2 x2t   3 x3t   5 x5t  wt
(c)  1  yt   2 x2t   3 x3t   4 x4t   5 x5t  wt
(d) Encompassing models cannot be used to compare these specifications
21. Which of these statements is not true about quantile regressions?
(a) No distributional assumptions are required to optimally estimate the parameters
(b) It is a non-parametric technique
(c)* It is a parametric technique
(d) The response variable is usually assumed to be independently distributed and
homoscedastic

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