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- Tue Apr 27, 2010 3:53 pm
- Forum: Econometric Discussions
- Topic: Unit root and White/Newey-west
- Replies: 1
- Views: 3709
Unit root and White/Newey-west
Hi guys, Hope you can help me. I have a couple of questions all in relation to time series data. 1) What is a unit root and why is it important to test for in relation to time series data and OLS? What will happen if you used OLS with the data containing a unit root? 2) What is the difference betwee...