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12.3 Correcting for Serial Correlation w/ Strictly Exogenous Regressors

12.3 Correcting for Serial Correlation w/ Strictly Exogenous Regressors. The following autocorrelation correction requires all our regressors to be strictly exogenous -in particular, we should have no lagged explanatory variables Assume that our error terms follow AR(1) SERIAL CORRELATION :.

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Multiple Regression Analysis

Multiple Regression Analysis. y = b 0 + b 1 x 1 + b 2 x 2 + . . . b k x k + u 6. Heteroskedasticity. What is Heteroskedasticity. Recall the assumption of homoskedasticity implied that conditional on the explanatory variables, the variance of the unobserved error, u , was constant

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358 views • 21 slides

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12.3 Correcting for Serial Correlation w/ Strictly Exogenous Regressors

Multiple Regression Analysis