Dear RG colleagues,
I applied OLS regression analysis and usually, I report CUSUM and CUSUMSQ stability tests. But this time, I have to report more stability tests and I also included heteroscedasticity tests. My question is, are these two enough, or should I incorporate additional stability tests of coefficients or residuals? What are the most popular stability tests of the models? Thank you beforehand.
Best
Ibrahim
Autocorrelation test like Breusch-Godfrey Serial Correlation LM Test is a must.
Data is time series- initially test for normality using Shapiro-Wilks test. After estimation test for auto correlation, test for multicollinearity using Variance Inflation factor ( V. I. F) and heteroscedasticity tests .
Hi - you can consider conducting the "plots of recursive coefficients tests" to check stability of parameters, "Chow's breakpoint test", "Quandt-Andrews breakpoint test", "multiple breakpoint tests", "one-step forecast", and "n-step forecast tests", ~.
ALL THE BEST!
In standard applied econometric modelling practice, it is advisable to run as much diagnostic tests as possible to optimise model performance/estimates, but being cautious about running tests that are applicable/relevant.
Dear Ibrahim,
In addition to your test, I will employ you to use chow test.
Regards
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