ECS4863
EXAM PACK
Recent exam questions and answers
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+27 81 278 3372
DISCLAIMER & TERMS OF USE
1. Educational Aid: These study notes are designed to serve as educational aids and should not be considered as a
substitute for individual research, critical thinking, or professional guidance. Students are encouraged to
conduct their own extensive research and consult with their instructors or academic advisors for specific
assignment requirements.
2. Personal Responsibility: While every effort has been made to ensure the accuracy and reliability of the
information provided in these study notes, the seller cannot guarantee the completeness or correctness of all
the content. It is the responsibility of the buyer to verify the accuracy of the information and use their own
judgment when applying it to their assignments.
3. Academic Integrity: It is crucial for students to uphold academic integrity and adhere to their institution's
policies and guidelines regarding plagiarism, citation, and referencing. These study notes should be used as a
tool for learning and inspiration, but any direct reproduction of the content without proper acknowledgment and
citation may constitute academic misconduct.
4. Limited Liability: The seller of these study notes shall not be held liable for any direct or indirect damages,
losses, or consequences arising from the use of the notes. This includes, but is not limited to, poor grades,
academic penalties, or any other negative outcomes resulting from the application or misuse of the information
provide
]
,UNIVERSITY EXAMINATIONS
October/ November 2024
ECS4863
Advanced Econometrics
100 Marks
Duration: 4 Hours
First Examiner: Dr E Ndou
Second Examiner: Ms Lerato Nkosi
External Examiner: Prof AM Pretorius
This paper consists of 6 pages.
CONFIDENTIAL
Instructions:
1. Students must upload their answer scripts in a single PDF file on the official myExams
platform (answer scripts must not be password protected or uploaded as “read-only” files).
2. NO e-mailed scripts will be accepted.
3. Students are advised to preview submissions (answer scripts) to ensure legibility and that
the correct answer script file has been uploaded.
4. Students are permitted to resubmit their answer scripts should their initial submission be
unsatisfactory.
5. Incorrect file format and uncollated answer scripts will not be considered.
6. Incorrect answer scripts and/or submissions made on unofficial examination platforms
(including the invigilator cellphone application) will not be marked and no opportunity will be
granted for resubmission.
7. A mark awarded for an incomplete submission will be the student’s final mark. No opportunity
for resubmission will be granted.
8. A mark awarded for illegible scanned submission will be the student’s final mark. No
opportunity for resubmission will be granted.
9. Only the last file uploaded and submitted will be marked.
10. Submissions will only be accepted from registered student accounts.
11. Students who have not utilised invigilation or proctoring tools will be deemed to have
transgressed Unisa’s examination rules and will have their marks withheld.
12. Students have 48 hours from the day of their examination to upload their invigilator results
from the Invigilator App. Failure to do so will result in students deemed not to have utilised
invigilation or proctoring tools.
, CONFIDENTIAL
Page 2 of 6 ECS4863
Oct/Nov 2024
13. Students must complete the online declaration of their work when submitting. Students
suspected of dishonest conduct during the examinations will be subjected to disciplinary
processes. Students may not communicate with other students or request assistance from
other students during examinations. Plagiarism is a violation of academic integrity, and
students who do plagiarise or copy verbatim from published work will be in violation of the
Policy on Academic Integrity and the Student Disciplinary Code and may be referred to a
disciplinary hearing. Unisa has zero tolerance for plagiarism and/or any other forms of
academic dishonesty.
14. Students are provided 30 minutes to submit their answer scripts after the official examination
time. Students who experience technical challenges should report to the SCSC on 080 000
1870 or their College exam support centers (refer to the Get help during the examinations
by contacting the Student Communication Service Centre (unisa.ac.za)) within 30 minutes.
Queries received after one hour of the official examination duration time will not be
responded to. Submissions made after the official examination time will be rejected by the
examination regulations and will not be marked.
15. Non-adherence to the processes for uploading examination responses will not qualify the
student for any special concessions or future assessments.
16. Queries that are beyond Unisa’s control include the following:
a. Personal network or service provider issues
b. Load shedding/limited space on personal computer
c. Crashed computer
d. Using work computers that block access to myExams site (work firewall
challenges)
e. Unlicensed software (eg license expires during exams)
Postgraduate students experiencing the above challenges are advised to apply for an
aegrotat and submit supporting evidence within ten days of the examination session.
Students will not be able to apply for an aegrotat for a third examination opportunity.
Postgraduate/Undergraduate students experiencing the above challenges in their second
examination opportunity will have to reregister for the affected module.
17. Students experiencing technical challenges should contact the SCSC on 080 000 1870 or
via e-mail at or refer to the Get help during the examinations by
contacting the Student Communication Service Centre (unisa.ac.za) for the list of additional
contact numbers. Communication received from your myLife account will be considered.
, CONFIDENTIAL
Page 3 of 6 ECS4863
Oct/Nov 2024
Answer all four questions
Question 1 (10 marks)
1.1 Explain any two of the Gauss-Markov assumptions that make OLS estimators unbiased. (4)
1.2 Choose any two of the below terms or concepts and explain them in your own words. (2
marks each): (4)
i. Trend stationarity
ii. Integrated stochastic process
iii. Random walk with a drift
iv. Asymptotic normality
1.3 A researcher wants to set up a regression equation using two variables, namely Y and X.
Evaluate the researcher’s options given the following scenario:
Y is I(1); X is I(2) (2)
Question 2: (30 marks)
You are required to estimate the determinants of stock market performance using the dataset
named ECS4863_Q2.xls to answer this question. The variables are
ALSI : JSE All Share Index
TBILL: Treasury bill rate (% per annum)
M3 : Money supply (current prices in R Million))
GOLD: Gold Price in US$ per ounce
ZAR: South African Rand per US$
Prime: Prime overdraft rate (% per annum)
2.1 Perform an ADF unit root test using the option of trend and intercept only on the level and
differenced variables above and interpret the test results. Log-transform these variables before
doing the unit root tests. You can present your answers in a table format. (6)
2.2 Estimate the long-run equilibrium equation (1) below and interpret the coefficients. (3)
Note. Ln indicates that the variable has been log-transformed
EXAM PACK
Recent exam questions and answers
Summarised study notes
Exam tips and guidelines
+27 81 278 3372
DISCLAIMER & TERMS OF USE
1. Educational Aid: These study notes are designed to serve as educational aids and should not be considered as a
substitute for individual research, critical thinking, or professional guidance. Students are encouraged to
conduct their own extensive research and consult with their instructors or academic advisors for specific
assignment requirements.
2. Personal Responsibility: While every effort has been made to ensure the accuracy and reliability of the
information provided in these study notes, the seller cannot guarantee the completeness or correctness of all
the content. It is the responsibility of the buyer to verify the accuracy of the information and use their own
judgment when applying it to their assignments.
3. Academic Integrity: It is crucial for students to uphold academic integrity and adhere to their institution's
policies and guidelines regarding plagiarism, citation, and referencing. These study notes should be used as a
tool for learning and inspiration, but any direct reproduction of the content without proper acknowledgment and
citation may constitute academic misconduct.
4. Limited Liability: The seller of these study notes shall not be held liable for any direct or indirect damages,
losses, or consequences arising from the use of the notes. This includes, but is not limited to, poor grades,
academic penalties, or any other negative outcomes resulting from the application or misuse of the information
provide
]
,UNIVERSITY EXAMINATIONS
October/ November 2024
ECS4863
Advanced Econometrics
100 Marks
Duration: 4 Hours
First Examiner: Dr E Ndou
Second Examiner: Ms Lerato Nkosi
External Examiner: Prof AM Pretorius
This paper consists of 6 pages.
CONFIDENTIAL
Instructions:
1. Students must upload their answer scripts in a single PDF file on the official myExams
platform (answer scripts must not be password protected or uploaded as “read-only” files).
2. NO e-mailed scripts will be accepted.
3. Students are advised to preview submissions (answer scripts) to ensure legibility and that
the correct answer script file has been uploaded.
4. Students are permitted to resubmit their answer scripts should their initial submission be
unsatisfactory.
5. Incorrect file format and uncollated answer scripts will not be considered.
6. Incorrect answer scripts and/or submissions made on unofficial examination platforms
(including the invigilator cellphone application) will not be marked and no opportunity will be
granted for resubmission.
7. A mark awarded for an incomplete submission will be the student’s final mark. No opportunity
for resubmission will be granted.
8. A mark awarded for illegible scanned submission will be the student’s final mark. No
opportunity for resubmission will be granted.
9. Only the last file uploaded and submitted will be marked.
10. Submissions will only be accepted from registered student accounts.
11. Students who have not utilised invigilation or proctoring tools will be deemed to have
transgressed Unisa’s examination rules and will have their marks withheld.
12. Students have 48 hours from the day of their examination to upload their invigilator results
from the Invigilator App. Failure to do so will result in students deemed not to have utilised
invigilation or proctoring tools.
, CONFIDENTIAL
Page 2 of 6 ECS4863
Oct/Nov 2024
13. Students must complete the online declaration of their work when submitting. Students
suspected of dishonest conduct during the examinations will be subjected to disciplinary
processes. Students may not communicate with other students or request assistance from
other students during examinations. Plagiarism is a violation of academic integrity, and
students who do plagiarise or copy verbatim from published work will be in violation of the
Policy on Academic Integrity and the Student Disciplinary Code and may be referred to a
disciplinary hearing. Unisa has zero tolerance for plagiarism and/or any other forms of
academic dishonesty.
14. Students are provided 30 minutes to submit their answer scripts after the official examination
time. Students who experience technical challenges should report to the SCSC on 080 000
1870 or their College exam support centers (refer to the Get help during the examinations
by contacting the Student Communication Service Centre (unisa.ac.za)) within 30 minutes.
Queries received after one hour of the official examination duration time will not be
responded to. Submissions made after the official examination time will be rejected by the
examination regulations and will not be marked.
15. Non-adherence to the processes for uploading examination responses will not qualify the
student for any special concessions or future assessments.
16. Queries that are beyond Unisa’s control include the following:
a. Personal network or service provider issues
b. Load shedding/limited space on personal computer
c. Crashed computer
d. Using work computers that block access to myExams site (work firewall
challenges)
e. Unlicensed software (eg license expires during exams)
Postgraduate students experiencing the above challenges are advised to apply for an
aegrotat and submit supporting evidence within ten days of the examination session.
Students will not be able to apply for an aegrotat for a third examination opportunity.
Postgraduate/Undergraduate students experiencing the above challenges in their second
examination opportunity will have to reregister for the affected module.
17. Students experiencing technical challenges should contact the SCSC on 080 000 1870 or
via e-mail at or refer to the Get help during the examinations by
contacting the Student Communication Service Centre (unisa.ac.za) for the list of additional
contact numbers. Communication received from your myLife account will be considered.
, CONFIDENTIAL
Page 3 of 6 ECS4863
Oct/Nov 2024
Answer all four questions
Question 1 (10 marks)
1.1 Explain any two of the Gauss-Markov assumptions that make OLS estimators unbiased. (4)
1.2 Choose any two of the below terms or concepts and explain them in your own words. (2
marks each): (4)
i. Trend stationarity
ii. Integrated stochastic process
iii. Random walk with a drift
iv. Asymptotic normality
1.3 A researcher wants to set up a regression equation using two variables, namely Y and X.
Evaluate the researcher’s options given the following scenario:
Y is I(1); X is I(2) (2)
Question 2: (30 marks)
You are required to estimate the determinants of stock market performance using the dataset
named ECS4863_Q2.xls to answer this question. The variables are
ALSI : JSE All Share Index
TBILL: Treasury bill rate (% per annum)
M3 : Money supply (current prices in R Million))
GOLD: Gold Price in US$ per ounce
ZAR: South African Rand per US$
Prime: Prime overdraft rate (% per annum)
2.1 Perform an ADF unit root test using the option of trend and intercept only on the level and
differenced variables above and interpret the test results. Log-transform these variables before
doing the unit root tests. You can present your answers in a table format. (6)
2.2 Estimate the long-run equilibrium equation (1) below and interpret the coefficients. (3)
Note. Ln indicates that the variable has been log-transformed
