Closed syerramilli closed 8 years ago
When I use the iv4 routine on a dataset whose DGP is ARMAX, my residuals have white-noise properties. This is despite the fact that an ARX model is fit.
The issue was caused due to computing residuals from the filtered regressor matrix instead of the regular one.
When I use the iv4 routine on a dataset whose DGP is ARMAX, my residuals have white-noise properties. This is despite the fact that an ARX model is fit.