Recent content by JennyS

  1. J

    Autoregression model failed Breusch-Godfrey test and Shapiro-Wilk test

    I built an Autoregression model. It passed the ADF test, Durbin-Watson test, and Ramsey RESET Test. However, it failed the Breusch-Godfrey test and Shapiro-Wilk test. Can this model still be used? Are there any cautions when using it? Thanks!
  2. J

    Durbin-Watson test vs Breusch-Godfrey test

    I performed DW test (DW=4) and Godfrey test (Godfrey=4) on a small sample size (60 observations). The DW test results accept the null hypothesis (4 Pr>W value are all >0.05). However, for Godfrey test, only AR(1) accept the null hypothesis (Pr>LM value >0.05). AR(2)-AR(4) all have very small P...