That’s a great question! The short answer is: it’s best to choose octaves in the middle range.
Although the human brain and ear is technically capable of judging pitch well across all octaves we can hear, we tend to find it easier within the most commonly-used octaves. For example, the pitch range of a guitar, an 88-key piano or the human singing voice.
Most musicians will find skills like interval and chord recognition or transcription trickier when the notes are in extremely high or low octaves.
Sometimes this can be due to your ears’ frequency sensitivity (e.g. older people tend to have some hearing loss at high frequencies/pitches) making the notes quieter and less clear than they would be in a medium-range octave.
Sometimes it’s simply a lack of practice – particularly when the instrument’s timbre is a factor. Deep low piano notes have a very different characteristic sound to the up-high tinkly notes, and you’ll need to train with them specifically to be as reliable as with mid-range notes.
This can provide a fun extra challenge: if you find your ear training skills getting solid, try shifting everything to a very high or low octave and see if you can still ace the tests! :)