Lecture 11:  TIME SERIES DATA: SERIAL CORRELATION AND HETEROSKEDASTICITY Professor Victor Aguirregabiria Preloader

Lecture 11: TIME SERIES DATA: SERIAL CORRELATION AND HETEROSKEDASTICITY Professor Victor Aguirregabiria - PowerPoint PPT Presentation


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2. OUTLINEProperties of OLS with Serial CorrelationTesting for Serial CorrelationTest for AR(1) with Strictly Exogenous RegressorsTest for AR(1) with Lagged Endogenous RegressorsTest for Higher Order Serial CorrelationCorrecting for Serial CorrelationSerial Correlation-Robust Standard ErrorsFeasible GLS (Cochrane-Orcutt and Prais-Winsten)Heteroskedasticity.

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