when Newey-West doesn't correct serial autocorrelation
Posted: 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!
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!