0
$\begingroup$

Is it right that with positive autocorrelation in the errors, the model underestimates the SE? Hence, using generalized differencing (such as Cochrane-Orcutt), the transformed model has a higher value of SE? And if so, what happens to a model with negative autocorrelation? I can't quite explain how these happen.

$\endgroup$
2
  • $\begingroup$ Could you provide more details? E.g. autocorrelation in what: dependent variable, independent variables, errors? Also, what do you mean by generalized differencing? $\endgroup$ May 16 at 16:43
  • $\begingroup$ Autocorrelation in errors and generalized differencing such as Cochrane-Orcutt $\endgroup$
    – Mark Lee
    May 17 at 1:10

0

Your Answer

By clicking “Post Your Answer”, you agree to our terms of service, privacy policy and cookie policy

Browse other questions tagged or ask your own question.