Given that the objective of any econometric modelling exercise is to find the model that most closely
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‘Given that the objective of any econometric modelling exercise is to find the model that most closely ‘fits’ the data, then adding more lags to an ARMA model will almost invariably lead to a better fit. Therefore a large model is best because it will fit the data more closely.’
Comment on the validity (or otherwise) of this statement.
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