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- Fri May 13, 2011 10:28 am
- Forum: Econometric Discussions
- Topic: Lagged dependent variable and serially correlated residuals
- Replies: 1
- Views: 2059
Lagged dependent variable and serially correlated residuals
I gather from reading various textbooks that the combination of a lagged dependent variable and serially correlated residuals is likely to lead to inconsistent estimators. Would this still be the case if I included an MA(1) term, so that the first order serial correlation is corrected for? If not th...
