When there are indications of autocorrelation,first an investigation should be conducted to determine whether one or more independent variables that might explain the autocorrelation have been omitted from the model.

Question

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Autocorrelation can be caused by omitted variables that are related to both the dependent and independent variables in the model. Therefore, the first step when autocorrelation is detected is to investigate whether any relevant independent variables have been left out of the model.

When There Are Indications of Autocorrelation,first an Investigation Should Be