when Newey-West doesn't correct serial autocorrelation

For econometric discussions not necessarily related to EViews.

Moderators: EViews Gareth, EViews Moderator

Post Reply
saurah
Posts: 1
Joined: Sun May 03, 2015 3:16 am

when Newey-West doesn't correct serial autocorrelation

Postby saurah » Sun May 03, 2015 3:21 am

Hey!

I have discovered serial autocorrelation in my regression (pvalue 0.000) and want to correct it.
So I reestimate the equation using HAC (Newey-West), but when I check for autocorrelation again the pvalue is still 0.000 = serial autocorrelation, right?

How can I fix this?

Thanks!
Top
startz
Non-normality and collinearity are NOT problems!
Posts: 3798
Joined: Wed Sep 17, 2008 2:25 pm

Re: when Newey-West doesn't correct serial autocorrelation

Postby startz » Sun May 03, 2015 8:00 am

Newey-West corrects standard errors for serial correlation. It does not eliminate serial correlation. Look for AR terms in the Help system.
Top
Post Reply

Return to “Econometric Discussions”

Who is online

Users browsing this forum: No registered users and 2 guests