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by dm90
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...

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