?

Econometrics

Free Version

Upgrade subject to access all content

Easy

Correcting for Serial Autocorrelation

EMETRC-WLXTEK

In the case of heteroskedasticity, econometricians can use White's (1980) correction of the estimated OLS variance-covariance matrix to improve standard errors in the case of heteroskedasticity.

What is the equivalent correction method in cases of serial autocorrelation?

A

Theil-Nagar's (1971) serial correlation robust variance-covariance.

B

Cochrane-Orcutt's (1949) serial correlation robust variance-covariance.

C

Hildreth-Lu's (1960) serial correlation robust variance-covariance.

D

Newey-West's (1987) serial correlation robust variance-covariance.

E

Ljung-Box's (1979) serial correlation robust variance-covariance.