## Module 9.5 LOS 9.m, 9.n: Testing an AR model for ARCH, nonstationarity and cointegration

ARCH is similar to autocorrelation, in fact it could be described as autocorrelation of the residuals of an AR model. …

ARCH is similar to autocorrelation, in fact it could be described as autocorrelation of the residuals of an AR model. …

The simplest form of a linear trend is: yt = b0 + b1(t) + εt where: yt = the value of the time …

We cannot use DW tests to test for autocorrelation (serial correlation in an AR model). To identify autocorrelation we use …

Some time series can exhibit a tendency to move towards its mean. The mean reverting level can be expressed as: …

Confidence intervals for regression coefficients can be used for hypothesis testing. Instead of calculating a test statistic and a critical …

Coefficient values in multiple regressions are not informative on their own. To determine the significance of slope coefficients in multiple …

Multiple regression models operate under the following assumptions: A linear relationship exists between dependent and independent variables The independent variables …

Regression Model Assumptions Linear Regression Models operate under the following assumptions: A linear relationship exists between dependent and independent variables …

The next concept we will look at is significance testing. Significance testing is a form of hypothesis testing focused on …