Autocorrelation correction
Posted: Fri Mar 16, 2012 8:14 am
Hello!
I would like to know if there is a matrix to correct just autocorrelation in Eviews that I can install as a add-in, for the cases when I have just autocorrelation.
I'm asking it because Eviews 7.2 has a test for autocorrelation named "Breusch-Godfrey Serial Correlation LM Test" and a "Heteroskedasticity White Test" too. The problem is that if I have autocorrelation only I can't correct it because I can only choose between the White covariance matrix (to correct heteroskedasticity) or the Newey-West matrix (to correct both). But what I want is an option to correct the covariance matrix for autocorrelation only.
Thank you very much!
I would like to know if there is a matrix to correct just autocorrelation in Eviews that I can install as a add-in, for the cases when I have just autocorrelation.
I'm asking it because Eviews 7.2 has a test for autocorrelation named "Breusch-Godfrey Serial Correlation LM Test" and a "Heteroskedasticity White Test" too. The problem is that if I have autocorrelation only I can't correct it because I can only choose between the White covariance matrix (to correct heteroskedasticity) or the Newey-West matrix (to correct both). But what I want is an option to correct the covariance matrix for autocorrelation only.
Thank you very much!