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Misspecification Tests in Econometrics.
1, a parte auto-regressiva (AR) do modelo arima indica que a variável evoluinte de interesse é regressada em seus próprios valores defasados, isto é, anteriores.
4 Detection of misspecification edit The Ramsey reset test can help test for specification error in regression analysis.
No entanto, ainda é um método útil para seleção, já que penaliza mais intensamente modelos por terem mais parâmetros do que o AIC faria.Então, isto pode ser rescrito como: ( 1 i 1 p i L i ) ( 1 i 1 p d i L i ) ( 1 L ).Harrell, Frank (2001 Regression Modeling Strategies, Springer."Misspecification Tests and Their Uses in Econometrics"."Model specification tests and artificial regressions".A parte integrada (I) indica que os valores de dados foram substituídos com a diferença entre seus valores e os valores anteriores e este processo diferenciador pode ter sido realizado mais de uma vez.
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