OLS Model
Posted: Thu Aug 15, 2013 8:23 am
Hi to everYbodY!
I have a question concerning the 2step-Engle Granger Model Error Correction Model. Have the residuals of the OLS model be corrected for heteroscedasticitY and serial correlation? Or is it enough if residuals are stationarY? MY OLS model is seriallY correlated and heteroscedastic, can I follow with the ECM`?
Thx a lot.
Regards
I have a question concerning the 2step-Engle Granger Model Error Correction Model. Have the residuals of the OLS model be corrected for heteroscedasticitY and serial correlation? Or is it enough if residuals are stationarY? MY OLS model is seriallY correlated and heteroscedastic, can I follow with the ECM`?
Thx a lot.
Regards