If the problem cannot be resolved by improved model specification, then we need to correct for the influence of the autocorrelation through statistical means.

Apr 18, 2025 · However when doing this I have run into the issue of autocorrelation and cant seem to fix it without introducing multicollinearity (VIF>10), by this i mean adding lags of my dependent variable …

Oct 22, 2018 · To correct the autocorrelation problem, use the ‘prais’ command instead of regression (same as when running regression), and the ‘corc’ command at last after the names of the variables.

We present an enhanced and extended command, actest, for the testing of autocorrelation in the errors of OLS, IV, IV-GMM and LIML estimates for a single time series, including testing for autocorrelation …

A simple walk-through of how to use three options for dealing with auto-correlated errors in a simple OLS framework: first-difference, generalized difference, and robust standard error models...

Feb 4, 2023 · To address both heteroskedasticity and serial autocorrelation, you may consider using a dynamic heteroskedasticity and autocorrelation consistent (HAC) VAR model, which allows for the...

To correct the autocorrelation problem, use the ‘prais’ command instead of regression (same as when running regression), and the ‘corc’ command at last after the names of the variables.

Feb 16, 2015 · I read the article suggested in this post but I'm a bit confused which analysis to use in STATA to generate the right results. The analysis of my unbalanced panel dataset implies that the …

Unlike the regression-based method, the Yule–Walker equations-based method ensures that the first-sample partial autocorrelation equal the first-sample autocorrelation coefficient, as must be true in …

Jun 11, 2024 · I wanted to know how to correct for heteroskedasticity, autocorrelation after ARDL and NARDL? Also, how to conduct CUSUM and CUSUM square test of stability after this?