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Hi to everYbodY! I have a question concerning the 2step-Engle Granger Model Error Correction Model. Have the residuals of the OLS model be corrected for heteroscedasticitY and serial correlation? Or is it enough if residuals are stationarY? MY OLS model is seriallY correlated and heteroscedastic, ca...

probably I should mention that my model is an ARIMA model..

Can anybody help, please?

I mean if my data series are stationary in their first difference - shall I use differenced variables for the long-run relationship (OLS) and second-differenced variables for the short run (VECM)?

Dear All, I've got a question regarding the unit root test - if my variables are all stationary in their first differences - how should I run the OLS model? Shall I take differenced variables, or the data series in level? And what is with the VECM - shall I use second-differenced data series, if I u...

thx a lot!

yes my variables are I(1)
can I still go on with the error correction model?

unfortunately, I haven't got the Eviews Program now..

Sorry ..

thank you very much!

Thank you for your answer. Attached is the excel sheet with the data where p=price, cr=crude oil and ex=exchange rate daily data from 01. September 2011 to 02. April 2013 my regression equation is: log(p) c log(cr) log(ex) however, I couldn't solve the serial correlation and heteroskedasticity probl...

thank you for your answer.

Can you probably tell me how to solve serial correlation and heteroskedasticity problem? I've daily data and using lagged variables or AR(1) couldn't solve the problem..
It would be great if you can help me...
Thank you very much.

Regards

My regression model is: lnp c lncr lnex where p=price cr=crude oil and ex= exchange rate However, this model is serially correlated and heteroskedastic.. I've tried to solve the serial correlation and heteroskedasticity problem but it wasn't possible... I have to run an error correction model with t...

thank you for your answer. so if my regression is serially correlated and heteroskedastic - is it enough to active the NEWEY WEST button? Will this solve the problem of serial correlation and heteroskedasticity? Moreover, can I use the results (residuals of this regression model) for e.g. an error c...

How will be serial correlation and heteroskedasticity corrected with the NEWEY WEST button? I'm using Eviews 6 and if I activate the button - and run again the LM Serial Correlation test . the results are the same (serially correlated)..

Dear all, I hope that somebody can help me. My regression model is serially correlated. However, I cannot correct it (have tried to run it with lagged variables and also with AR(1) and with the Newest-West button) what can I further do? Moreover, the model is also heteroskedastic.. Please help me! R...