In the presence of autocorrelation, ordinary lease squares (OLS) produce unbiased estimates and hence t tests and F tests are still valid. One problem with the use of a lagged dependent variable as an explanatory variab that it always gives rise to autocorrelation.
In the presence of autocorrelation, ordinary lease squares (OLS) produce unbiased estimates and hence t tests and F tests are still valid. One problem with the use of a lagged dependent variable as an explanatory variab that it always gives rise to autocorrelation.
Algebra & Trigonometry with Analytic Geometry
13th Edition
ISBN:9781133382119
Author:Swokowski
Publisher:Swokowski
Chapter9: Systems Of Equations And Inequalities
Section9.9: Properties Of Determinants
Problem 42E
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