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Regression Specification Error Test (RESET test)
robust to heteroskedasticity using the methods discussed in Section 8.2. HOUSING PRICE EQUATION EXAMPLE 9.2 We estimate two models for housing prices. The first one has all variables in level form: price — ßo + ßllotsize + ß2sqrft + ß3bdrms + u.
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AR, MA and ARMA models - Hedibert
hedibert.org1) , one can rewrite a stationary AR(1) model as r t= ˚ 0 + ˚ 1r t 1 + a t; such that ˚ 1 measures the persistence of the dynamic dependence of an AR(1) time series. The ACF of the AR(1) is l= ˚ 1 l 1 l>0; where 0 = ˚ 1 1 + ˙ a 2 and l= . Also, ˆ l= ˚l 1; i.e., the ACF of a weakly stationary AR(1) series decays exponentially with rate ...
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hedibert.org2t with deterministic trends Even after removing a determinist trend from y 1t, the residuals still behave like a random walk. On the other hand, y 2t is de nitely trend-stationary. Modeling y1 with DT Time y1 0 50 100 150 200 0 20 40 60 80 Time Residuals 0 50 100 150 200-6-4-2 0 2 4 Noise doesn't look white 0 5 10 15 20 0.0 0.2 0.4 0.6 0.8 1.0 ...
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