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- Wed May 13, 2015 3:49 am
- Forum: Econometric Discussions
- Topic: Cochrane Orcutt - specify the lags
- Replies: 0
- Views: 1489
Cochrane Orcutt - specify the lags
Hello everyone, I run a multipple autoregressive model including 40 observations and I want to fix the problem of autocorrelation through the Cochrane - Orcutt Procedure. I have detected serial correlation both the Correlogram - Q statistic and the Breusch - Godfrey LM test. When I am doing the corr...