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

[Robert A Yaffee <bob.yaffee@nyu.edu>]

Muhammad,
  You can try the Ramsey Reset test or the White specification test to test for 
such error.
   Regards,
      Robert

Robert A. Yaffee, Ph.D.
Research Professor
Silver School of Social Work
New York University

Biosketch: http://homepages.nyu.edu/~ray1/Biosketch2009.pdf

CV:  http://homepages.nyu.edu/~ray1/vita.pdf

----- Original Message -----
From: Muhammad Anees <aneesmkhattak@gmail.com>
Date: Saturday, May 14, 2011 3:07 am
Subject: st: time series analysis ommited variables bias/specification error testing
To: statalist@hsphsun2.harvard.edu

> 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
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