1 An Excursion into Non-linearity land Motivation: the linear structural (and time series) models cannot explain a number of important features common to much financial data
1 Goodness of Fit Statistics We would like some measure of how well our regression model actually fits the data.* We have goodness of fit statistics to test this: i.e. how well the sample regression function (srf) fits the data. The most common goodness of fit statistic is known as R2. One