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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?

A

Durbin-Watson test

B

Breusch-Godfrey test

C

Box-Pierce-Ljung test

D

All of the above

E

None of the above

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