Post-estimation diagnostic and stability tests for the NARDL model
| Diagnostic test | Statistic | p-value | Inference |
|---|---|---|---|
| Breusch–Godfrey LM Test (Serial Correlation) | 1.842 | 0.168 | Fail to reject H0 → No serial correlation |
| ARCH Test (Heteroskedasticity) | 1.276 | 0.243 | Fail to reject H0 → No ARCH effects |
| Ramsey RESET Test (Functional Form) | 0.954 | 0.331 | Fail to reject H0 → Model correctly specified |
| CUSUM Stability Test | – | – | Parameters stable (within 5% bounds) |
| CUSUMSQ Stability Test | – | – | Variance stable (within 5% bounds) |
| Diagnostic test | Statistic | Inference | |
|---|---|---|---|
| 1.842 | 0.168 | Fail to reject H0 → No serial correlation | |
| 1.276 | 0.243 | Fail to reject H0 → No ARCH effects | |
| 0.954 | 0.331 | Fail to reject H0 → Model correctly specified | |
| – | – | Parameters stable (within 5% bounds) | |
| – | – | Variance stable (within 5% bounds) |
Note(s): H0 for Breusch–Godfrey: no serial correlation. • H0 for ARCH: homoskedastic residuals. • H0 for RESET: correct model specification
Sharing content requires targeting cookies to be enabled. Please update your cookie preferences to use this feature.