《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