Timeline for Correcting for auto-correlation when using a lagged DV in the regression
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| Oct 22, 2020 at 2:21 | answer | added | Dayne | timeline score: 0 | |
| Oct 22, 2020 at 1:29 | comment | added | Dayne | But if you have already included AR(1) term in the model why would errors have AR(1) correlation? | |
| Oct 21, 2020 at 20:46 | comment | added | Aishwarya Deore | The assumption is that they are uncorrelated - else I would have an omitted variable bias. Plus I have no reason to believe that the error term would be correlated with any of the independent variables - but since I have a lag of DV now, there would be an AR(1) correlation between the error terms | |
| Oct 21, 2020 at 18:15 | comment | added | Dayne | What are your assumptions about $e_t | X$, where $e_t$ is error and $X$ is vector of IVs? | |
| Oct 21, 2020 at 16:16 | history | edited | Aishwarya Deore | CC BY-SA 4.0 |
deleted 4 characters in body
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| Oct 21, 2020 at 15:27 | history | asked | Aishwarya Deore | CC BY-SA 4.0 |