AR models with additional lags of dependent variable
Posted: 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
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