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Avoiding PPNR Model Mis-Specification from Spurious Correlation Failures

The Novantas Perspective series provides timely and expert viewpoints on a variety of detailed banking industry subjects.   Novantas is devoted to PPNR stress testing model improvement. As a follow up of an earlier article “Autoregressive Error Terms in PPNR Balance Models”, this article describes a bug in the SAS PROC AUTOREG procedure we uncovered during 2015 PPNR model development. We identified that models with no serial correlation fail the Godfrey serial correlation test in ...

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