Correcting autocorrelation in estimations

[BladeVsResiduals]

Hello all,

I would need some advice on a multivariate regression problem. I am running regressions with macroeconomic data at first difference and using a AR(1) as regressor to correct autocorrelation (it makes Eviews do iterative regressions). However some models still contain autocorrelation with this method.

I tried to introduce a moving average MA(1) in the model and the regression didn’t show any more autocorrelation. But am I allowed to use a MA(1) as a regressor ? For example can I estimate X = c + a*Y + MA(1) + AR(1) ?

If not, would you have another method to eliminate autocorrelation ?

Thanks in advance!

[startz]

Nothing wrong with this.