?

Econometrics

Free Version

Upgrade subject to access all content

Moderate

Consequences of Serial Autocorrelation

EMETRC-YPGXJY

What is a consequence of serial autocorrelation?

A

The expected value of the disturbance term is $E[\varepsilon_t] \neq 0$.

B

The OLS parameter values are biased.

C

Typical t-statistic and F-statistic are valid for making inferences.

D

The Gauss-Markov assumptions are not violated.

E

The covariance between an error term in time $t$ and an error term in time $s$ is $Cov(\varepsilon_t,\varepsilon_s)\neq 0$ for $t\neq s$.