Unsolvable serial correlation
Posted: Wed Apr 15, 2015 4:34 am
Hello,
Currently I am testing my equation "tr_w_ar_1985q4_2013q4" (which is the Taylor rule) for serial correlation using the Breusch-Godfrey serial LM test (View > Residual Diagnostics > Serial Correlation LM test). I notice that serial correlation is present, but when correcting with an AR(1) model I cannot solve for serial correlation.
The model is already corrected for heteroskedasticity with the white robust standard errors. I have attached my workfile to this message.
What can I do to solve for serial correlation?
Kind regards,
Ties
Currently I am testing my equation "tr_w_ar_1985q4_2013q4" (which is the Taylor rule) for serial correlation using the Breusch-Godfrey serial LM test (View > Residual Diagnostics > Serial Correlation LM test). I notice that serial correlation is present, but when correcting with an AR(1) model I cannot solve for serial correlation.
The model is already corrected for heteroskedasticity with the white robust standard errors. I have attached my workfile to this message.
What can I do to solve for serial correlation?
Kind regards,
Ties