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Econometrics

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Moderate

Regressions with Serial Autocorrelation Adjustments

EMETRC-ETGAJ4

If you estimate an OLS regression model and correct for serial autocorrelation using the Newey-West (1987) approach, you can interpret the estimated parameter values:

A

As a regression of a quasi-differenced dependent variable on a non-differenced independent variable.

B

As a regression of a non-differenced dependent variable on a quasi-differenced independent variable.

C

As an elasticity measure.

D

In the same manner as if no adjustment was made because only the standard errors were adjusted.

E

As a regression of a quasi-differenced dependent variable on a quasi-differenced independent variable.