I need your help to test autocorrelation between residuals of a time series. But I don't know which test use: Breusch Godfrey test, ARCH test or Durbin–Watson test.. I don't understand the difference between those tests. Anyone has a suggestion?
And my other question is: I already know there are heteroscedasticity and if there are autocorrelation too, how can I estimate my coefficients? Which method can I use?
Thank you in advance! Greg