《计量经济学导论》ch12.pptVIP

Chapter 12 ;Properties of OLS with serially correlated errors OLS still unbiased and consistent if errors are serially correlated Correctness of R-squared also does not depend on serial correlation OLS standard errors and tests will be invalid if there is serial correlation OLS will not be efficient anymore if there is serial correlation Serial correlation and the presence of lagged dependent variables Is OLS inconsistent if there are ser. corr. and lagged dep. variables? No: Including enough lags so that TS.3‘ holds guarantees consistency Including too few lags will cause an omitted variable problem and serial correlation because some lagged dep. var. end up in the error term;Testing for serial correlation Testing for AR(1) serial correlation with strictly exog. regressors Example: Static Phillips curve (see above);Durbin-Watson test under classical assumptions Under assumptions TS.1 – TS.6, the Durbin-Watson test is an exact test (whereas the previous t-test is only valid asymptotically). Example: Static Phillips curve (see above);Testing for AR(1) serial correlation with general regressors The t-test for autocorrelation can be easily generalized to allow for the possibility that the explanatory variables are not strictly exogenous: The test may be carried out in a heteroscedasticity robust way General Breusch-Godfrey test for AR(q) serial correlation ;Correcting for serial correlation with strictly exog. regressors Under the assumption of AR(1) errors, one can transform the model so that it satisfies all GM-assumptions. For this model, OLS is BLUE. Problem: The AR(1)-coefficient is not known and has to be estimated;Correcting for serial correlation (cont.) Replacing the unknown by leads to a FGLS-estimator There are two variants: Cochrane-Orcutt estimation omits the first observation Prais-Winsten estimation adds a transformed first observation In smaller samples, Prais-Winsten estimation should be more efficient Comparing OLS and FGLS with autocorrela