1. 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 suare of a t-variate with z degrees of freedom is also an F(1, z)
(!) A t-variate with z degrees of freedom is also an F(z, 1)
(d) There is no relationship between the two distributions.
". #onsider a simple regression model with !oe$!ient standard errors !al!ulated using the
usual formulae. Whi!h of the following statements is%are !orre!t regarding the standard error
estimator for the slope !oe$!ient?
(i) &t varies positively with the suare root of the suares of residual (s)
(ii) &t varies positively with the spread of X about its mean value
(iii) &t varies positively with the spread of X about 'ero
(iv) &t varies positively with the sample si'e T
(a) (i) only
(b) (i) and (iv) only
(!) (i), (ii) and (iv) only
(d) (i), (ii), (iii) and (iv).
(. What result is proved by the )auss-*ar+ov theorem?
(a) That ,-. gives unbiased !oe$!ient estimates
(b) That ,-. gives minimum varian!e !oe$!ient estimates
(!) That ,-. gives minimum varian!e !oe$!ient estimates only among the !lass of linear
unbiased estimators
(d) That ,-. ensures that the errors are distributed normally
/. Whi!h of the following is 0,T !orre!t with regard to the p-value atta!hed to a test statisti!?
(a) p-values !an only be used for two-sided tests
(b) &t is the marginal signi1!an!e level where we would be indi2erent between re3e!ting and
not re3e!ting the null hypothesis
(!) &t is the e4a!t signi1!an!e level for the test
(d) )iven the p-value, we !an ma+e inferen!es without referring to statisti!al tables
5. What is the relationship, if any, between the normal and t-distributions?
(a) A t-distribution with 'ero degrees of freedom is a normal
(b) A t-distribution with one degree of freedom is a normal
(!) A t-distribution with in1nite degrees of freedom is a normal
(d) There is no relationship between the two distributions.
6. Two resear!hers have identi!al models, data, !oe$!ients and standard error estimates.
They test the same hypothesis using a two-sided alternative, but resear!her 1 uses a 57 si'e
of test while resear!her " uses a 187 test. Whi!h one of the following statements is !orre!t?
(a) 9esear!her " will use a larger !riti!al value from the t-tables
(b) 9esear!her " will have a higher probability of type & error
(!) 9esear!her 1 will be more li+ely to re3e!t the null hypothesis
(d) :oth resear!hers will always rea!h the same !on!lusion.
;. Whi!h of the following !onditions must be ful1lled for the <urbin Watson test to be valid?
(i) The regression in!ludes a !onstant term
(ii) The regressors are non-sto!hasti!
(iii) There are no lags of the dependent variable in the regression
(iv) There are no lags of the independent variables in the regression
(a) (i), (ii) and (iii) only
(b) (i) and (ii) only
(!) (i), (ii), (iii) and (iv)
(d) (i), (ii), and (iv) only
=. &f the residuals of a regression on a large sample are found to be heteros!edasti! whi!h of
the following might be a li+ely !onseuen!e?
(i) The !oe$!ient estimates are biased
(ii) The standard error estimates for the slope !oe$!ients may be too small
(iii) .tatisti!al inferen!es may be wrong
(a) (i) only
(b) (ii) and (iii) only
(!) (i), (ii) and (iii)
(d) (i) and (ii) only
>. &n the estimated model
?
log( ) 2.25 0.7log( ) 0.02
i i i
q p y = + where p is the pri!e and q is the
demanded uantity of a !ertain good and y is disposable in!ome, what is the meaning of the
!oe$!ient on log (p)?
(a) &f the pri!e in!reases by 17, the demanded uantity will be 8.88;7 lower on average,
!eteris paribus
(b) &f the pri!e in!reases by 17, the demanded uantity will be ;87 lower on average,
!eteris paribus
(!) &f the pri!e in!reases by 17, the demanded uantity will be 8.;7 lower on average,
(d) 0one of the answers above is !orre!t
To answer uestions 18 through 1" !onsider the following estimated model (by ,-.), where
return is the total return of holding a 1rm sto!+ during one year, dkr is the 1rm@s debt to
!apital ratio, eps denotes earnings per share, netinc denotes net in!ome and salary denotes
total !ompensation, in millions of dollars, for the #A, (estimated standard errors of the
parameters in parentheses below the estimates).
The model was estimated using data on nB 1/" 1rms.
?
2
12.3 0.32 0.043 0.005 0.0035
. (6.89) (0.15) (0.078) (0.0047) (0.0022)
0.07644 0.03468 0.58234 0.28928 0.11393
142 0.0395
i i i i
return dkr eps netinc salary
s e
p val
n R
= + + +

= =
18. What !an you say about the estimated !oe$!ient of the variable salary? (!onsider a one-
sided alternative for testing signi1!an!e of the parameters and use the 0ormal appro4imation)
(a) Cor ea!h additional million dollars in the wage of the #A,, return is predi!ted to
in!rease by 8.88(5, on average, ceteris paribus. :ut it is not statisti!ally signi1!ant at a
57 level of signi1!an!e.
(b) Cor ea!h additional million dollars in the wage of the #A,, return is predi!ted to
de!rease by 8.88(5, on average, ceteris paribus. And it is statisti!ally signi1!ant at a57
level of signi1!an!e.
(!) Cor ea!h additional million dollars in the wage of the #A,, return is predi!ted to
in!rease by 8.8(5, on average, ceteris paribus. And it is statisti!ally signi1!ant at a
17level of signi1!an!e.
(d) &t is statisti!ally signi1!ant at a 57level of signi1!an!e but it is not signi1!ant at 17
level of signi1!an!e.
11. The model is estimated without in!luding the variables dkr and eps, and an 9
"
B8.8(=; was
obtained. What is the value of the C-statisti! for testing the null hypothesis that the
!oe$!ients on dkr and eps are both 'ero?
(a) (".="1
(b) 8.85;8
(!) 8.8=8=
(d) We have not enough information to answer this uestion, we would need to gather
more information from the restri!ted model.
1". What !an you say about the !oe$!ient on dkr (!onsider a one-sided alternative for testing
signi1!an!e of the parameters and use the 0ormal appro4imation)
(a) &t is statisti!ally signi1!ant at a 57 level of signi1!an!e and also signi1!ant at 17level
of signi1!an!e
(b) &t is statisti!ally signi1!ant at 17 level of signi1!an!e
(!) &t is statisti!ally signi1!ant at a 17 level of signi1!an!e but it is not signi1!ant at 57
level of signi1!an!e
(d) &t is statisti!ally signi1!ant at a 57 level of signi1!an!e but it is not signi1!ant at 17
level of signi1!an!e
(e) 0one of the answers above is !orre!t
1(. &n testing multiple e4!lusion restri!tions in the multiple regression model under the
#lassi!al assumptions, we are more li+ely to re3e!t the null that some !oe$!ients are 'ero ifD
(a) The 9esiduals sum of suares of the restri!ted model is large relative to that of the
unrestri!ted model
(b) The 9esiduals sum of suares of the restri!ted model is small relative to that of the
unrestri!ted model
(!) The total sum of suares,T.., is large
(d) The inter!ept parameter is greater than the signi1!an!e level
(e) :oth a) and d) above
(f) :oth !) and d) above
1/. Testing for the normality of residual, statisti! #hi-suare(") B (1.8( with p-value B
8.88888, the !on!lusion should beD
a. error is normally distributed
b. error isn@t normally distributed
!. 0o !on!lusion yet
1 2 3 4 5 6 7 8 9 10 11 12 13 14
B A C A C B A B C A B D A B
Q10 and 12: remember for one-sided t-test p-a!"e # "s"a! p-a!"e$2