Which of the following is assumed in time series regression?
A)There is no perfect collinearity between the explanatory variables.
B)The explanatory variables are contemporaneously endogenous.
C)The error terms are contemporaneously heteroskedastic.
D)The explanatory variables cannot have temporal ordering.

Question

Quizplus · Accepted Answer

Time series regression assumes that there is no perfect collinearity between the explanatory variables. This means that the independent variables are not highly correlated with each other, as this can lead to issues with estimation and interpretation of the coefficients. The other choices are not assumed in time series regression: contemporaneously endogeneity of explanatory variables is a concern, contemporaneous heteroskedasticity of error terms is a violation, and explanatory variables can have temporal ordering (as in lagged variables).

Which of the Following Is Assumed in Time Series Regression