Errors in Econometric Model Specification

The article discusses the predictive capabilities of the econometric model of stock price dynamics of PJSC RusHydro, one of the leading Russian generating companies specializing in renewable energy sources. In particular, the relevance of the study is justified due to the high interest of investors in the dynamics of the shares of the company, whose main activity is the production of electricity in the Far Eastern region of Russia. The purpose of the study is to empirically verify the dependence of the current share price of PJSC RusHydro on its lag values. To achieve this goal, the object of modeling is determined – the company's stock price, and the study analyzes the consequences of choosing the wrong regression specification for the accuracy of the forecast and statistical properties of the model. The following methods were used in this work: correlation analysis, a method for estimating model parameters, graphical analysis, and comparison of models according to quality criteria, including an assessment of the impact of specification errors on forecast quality.