CFA CFA Level 2 AR Model (Quantitative Methods)

AR Model (Quantitative Methods)

  • Author
    Posts
    • RoyD
      Participant
        • Undecided
        Up
        0
        ::

        I am confused as to the contradicting theories put across in the notes. At one place it says ‘Using a Lagged Dependent Variable as an Independent Variable’ leads to model misspecification.

        On the other hand AR models use a lagged dependent variable as an independent variable.

        What’s the logic behind using either?

      • Stuj79
        Participant
          • CFA Charterholder
          Up
          0
          ::

          My understanding is that AR models are for time series data, whereas model msipecification arises from use of a lagged dependent variable as an independent variable in normal cross sectional regression.

        • RoyD
          Participant
            • Undecided
            Up
            0
            ::

            Oh ok. That might make sense since they were from two different chapters.

        Viewing 2 reply threads
        • You must be logged in to reply to this topic.