AR models with additional lags of dependent variable

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AntonioAcha
Posts: 21
Joined: Wed Jan 07, 2015 8:49 am

AR models with additional lags of dependent variable

Postby AntonioAcha » Mon Sep 28, 2015 11:41 am

Hello.

When estimating AR models, is there an econometric problem with including additional lags of the dependent variable that could harm theorically and mathematically the estimation and its forecast?

For example

Dependent variable
Y

independent variables
AR(1)
Y(-2)
Y(-3)
X1
X2
X3

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

Re: AR models with additional lags of dependent variable

Postby startz » Mon Sep 28, 2015 1:15 pm

No problem in principle. How well it will work depends on the data.
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