Econometrics Exam Questions Frequency

Skewness, kurtosis 111

Jarque-Bera test 111
Testing coefficients 11
Explaining descriptive stats 111
Identifying AR, MA 111
Identifying stationarity 111
Dickey Fuller and Augmented DF 111
Carry out unit root test 111
Outline AR, MA and ARMA models (give uses) 11
Strengths and weakness of AR etc selection 11
criteria
Outline the main steps for forecasting a series 1
Identify best model 1
Effect of autocorrelation on t and F tests 1
Explain non-stationarity 1
Describe the Error Correction Mechanism 11
Outline the Engle and Granger 2 step 11
estimation method
Test for cointegration using Engle and Granger 11
Outline VAR 111
Adv and disadv of VAR over AR etc 111
Outline the procedure for selecting the order of 11
a VAR model
Outline Johansens cointegration methodology 111
(giving one example)
Vector Error Correction Mechanism 111
Test for cointegrated vectors 111
Test for Granger causality 11
Explain ARCH, uses 111
Adv and disadv of ARCH 111
Outline ARCH and GARCH 111
Explain/test for GARCH 111
Explain TGARCH and EGARCH 111
Test TGARCH and EGARCH 111
Compute std error + definition 1
Interpreting results of estimation 1
Find a ..% confidence interval 1
Ramsey RESET test 11
Interpreting coefficients 1
Dummy variables 1
Perform F and t tests 1
Multinomial model 1
R-squared 1
RSS 1
Durbin Watson 1
Test error autocorrelation using Chi-Squared or 1
F
White test for heteroskedasticity 1
Effects and solutions for heteroskedasticity 1
Joint test F test 1
Chow break point test 1
Chow forecast test 1