When the errors in a regression model have AR(1) serial correlation, why do the OLS standard errors tend to underestimate the sampling variation in the B;? Is it always true that the OLS standard errors are too small?

Glencoe Algebra 1, Student Edition, 9780079039897, 0079039898, 2018
18th Edition
ISBN:9780079039897
Author:Carter
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Chapter4: Equations Of Linear Functions
Section4.5: Correlation And Causation
Problem 2AGP
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When the errors in a regression model have AR(1) serial correlation, why do the OLS standard errors
tend to underestimate the sampling variation in the B;? Is it always true that the OLS standard errors
are too small?
Transcribed Image Text:When the errors in a regression model have AR(1) serial correlation, why do the OLS standard errors tend to underestimate the sampling variation in the B;? Is it always true that the OLS standard errors are too small?
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