Refining my model and Serial Correlation

For econometric discussions not necessarily related to EViews.

Moderators: EViews Gareth, EViews Moderator

Posts: 5
Joined: Tue Nov 13, 2012 10:48 pm

Refining my model and Serial Correlation

Postby axiom » Mon Nov 18, 2013 3:27 pm

I'm modeling national GDP, and I have maybe 2 dozen different X variables.

As I refine the model (add appropriate lags to variables, etc...) my R-squared, regression errors, and Akaike and Schwarz all get better.... but my serial correlation seems to always get worse, according to my DW. My DW hangs around 3, despite the fact that all my other indicators suggest that the equation is doing well.

When I do an ex-post forecast, it too seems good and remains stable.

I'll add an AR1 AR2 and AR3, but that doesn't seem to help either, as the DW remains at around 3.

So what is one to do? Is it because of the nature of what I am attempting to forecast (GDP) that I will always be plagued by this problem, or is there something that can be done about it?

Return to “Econometric Discussions”

Who is online

Users browsing this forum: No registered users and 9 guests