Correcting autocorrelation in estimations
Posted: Wed Jan 13, 2016 10:14 am
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!
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!