Moderate# Serial Autocorrelation with a Lagged Dependent Variable

EMETRC-4FLEXY

Suppose that you estimate a model that has a lagged dependent variable:

$$y_t = \beta_0 + \beta_1 y_{t-1} + \beta_2 X_t + \varepsilon_t$$

You wish to test for serial autocorrelation. Which test would be appropriate?