
Introduction to Econometrics 3rd Edition by James Stock, Mark Watson
Edition 3ISBN: 978-9352863501
Introduction to Econometrics 3rd Edition by James Stock, Mark Watson
Edition 3ISBN: 978-9352863501 Exercise 5
Suppose that X is strictly exogenous. A researcher estimates an ADL(1,1) model, calculates the regression residual, and finds the residual to be highly serially correlated. Should the researcher estimate a new ADL model with additional lags or simply use HAC standard errors for the ADL(1,1) estimated coefficients
Explanation
Serially correlation...
Introduction to Econometrics 3rd Edition by James Stock, Mark Watson
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