What kind of "stability" in Sem 3 ?
After quite a lot of lecturing about the importance of dynamic stability over the two last weeks, I can now see that the wording in excerise 3 may lead to misunderstandings,
So: In exercise 1ai), what we are after is "stability" in the meaning of "recursive stability of coefficients". Not conditions for dynamic stability and stationarity. Perhaps "constancy of coefficients (parameters)" would have been better.
Same in b) and 1 c) and ii).
Hint: Use the capability of recursive plots of individual coefficients, although that will give a lot of output to digest. Maybe easier to interpret recursive stability "tests": 1- step Chow tests for example, or the recusively estimated residual standard error!
R
Published Sep. 17, 2015 11:33 AM
- Last modified Sep. 17, 2015 11:33 AM