20th Jan, 2018

Rivers State University

Question

Asked 19th Jan, 2018

The major concern is how sensitive the AR model to data non homogeneity.

Kindly, I need some references.

thanks in advance

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Autoregressive (AR) modelling is based on assumption of stationarity which implies homoscedasticity and constant mean. Heteroscedasticity makes AR modelling unreliable for forecasting. To study the sensitivity of AR modelling to heteroscedasticity can best be done by simulation.

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