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hi.. i need some suggestion related to my thesis, it's about estimating equilibrium ex. rate (long run relationship)
i found all my variable stationer at level (10% level signfcn). when i run by OLS, it seem that my model got hetero & autocol problem..
i have 76 observations, 4 independent variables
i've tried ar(1) and newey-west HAC option, but this treatment make some variable no longer significant..
should I change my model (specification)? is there any appropriate method regarding the problems mentioned above?

thx in advance

Hi I'm not so good with theory, but I'm used to make OLS estimation always with NW correction. It changes only your std. errors, not parameters. If u got not relevant variables after correcting your estimation, probably they're not relevant (or you can have a multicollinearity problem - I think this is really possible specially in a level regression - and, in this case, u can keep your variables without more serious problem or use pdl estimation). Good luck, Fabio