The misspecification of dynamic regression models |
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| Affiliation: | 1. Institute for Soil Sciences and Agricultural Chemistry, Centre for Agricultural Research, Hungarian Academy of Sciences, Department of Environmental Informatics, Herman Ottó út 15, 1022 Budapest, Hungary;2. Department of Chemistry, Institute of Environmental Science, Szent István University, Páter Károly u. 1, Gödöllő 2100, Hungary;3. Department of Atomic Physics, Eötvös University, Pázmány Péter sétány 1/A, 1117 Budapest, Hungary;1. Department of Preventive Medicine, Shantou University Medical College, Shantou 515041, China;2. Guangzhou Center for Disease Control and Prevention, Guangzhou 510440, China |
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| Abstract: | This paper investigates some of the hazards of estimating dynamic regression relationships with misspecified models. It is argued that, whenever the dynamic specification is in doubt, we should do well to adopt models which attribute separate sets of parameters to the systematic and disturbance parts of the regression relationship. Some of the models which are commonly adopted in applied econometrics attempt to capture the basic dynamic properties of the two parts of the relationship with the same set of parameters. If the properties of these two parts differ radically, then they are bound to be misrepresented by such models which can give rise to very misleading estimates. |
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