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Results tagged with autocorrelation
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user 101454
Autocorrelation (serial correlation) is the correlation of a series of data with itself at some lag. This is an important topic in time series analysis.
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Serially Correlated Regressors
After the moving average, the regressor in your model becomes more persistent, i.e. having stronger serial correlations. The OLS estimate would still be asymptotically consistent, but the finite-sampl …
- 61
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HAC standard error or missing ARMA terms
Otherwise, whenever there is residual autocorrelation, investigate adding AR or MA terms but never simply use HAC estimator. …
- 61