Bookmark and Share

Notice: On March 31, it was announced that Statalist is moving from an email list to a forum. The old list will shut down on April 23, and its replacement, statalist.org is already up and running.


[Date Prev][Date Next][Thread Prev][Thread Next][Date Index][Thread Index]

st: time series analysis ommited variables bias/specification error testing


From   Muhammad Anees <aneesmkhattak@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   st: time series analysis ommited variables bias/specification error testing
Date   Sat, 14 May 2011 12:06:14 +0500

Hi

I am just wondering if my question is too basic although my confusion
seems as legitimate to me.
I have to check if my time series model y=ao+b1x1+b2x2+b3x3+b4x4+error
has or has not an omitted variable bias or specification error against
the three alternative

(1)   y=ao+b1x1+b2x1^2+b3x2+b4x3+b5x4+error
(2)   y=ao+b1x1+b2x2+b3x3+b4x4+b5x5+error
(3)   y=ao+b1x1+b2x1^2+b3x2+b4x3+b5x4+b6x5error

What econometric tests Stata can offer and what can be the possible
interpretation the testing procedure, even though the interpretation
will depends on the testing technique? Now if if I have used the first
model and have tested for cointegation and granger causality, what
implication the has been the result of ommiting variables or
specifying incorrect model.

Thanks in advance for your time and suggestions?


---
Best,


---------------
Anees
*
*   For searches and help try:
*   http://www.stata.com/help.cgi?search
*   http://www.stata.com/support/statalist/faq
*   http://www.ats.ucla.edu/stat/stata/


© Copyright 1996–2014 StataCorp LP   |   Terms of use   |   Privacy   |   Contact us   |   Site index