Question

1. Which test is used for the following a. omission of relevant variables b. parameter stability...

1. Which test is used for the following

a. omission of relevant variables

b. parameter stability

2. when can we introduce dummies in models?

3. What is stationarity and Why is it desired to run a model?

4. how do you determine the order of Lags in ARMA model?

5. List and explain the Box - Jenkins model adequacy test for the ARMA/ARIMA

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Answer #1

1)

a. To test omission of relevant variables multiple linear regression test is used.

b. To test parameter stability likelihood ratio tests for a single break, tests based on cumulative forecast errors, and tests against the alternative of time-varying parameters.

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