Multiple Choice
Which of the following is one way to detect autocorrelation?
A) Estimate a standard OLS model and look at sign of coefficient.
B) Graph the residuals over time.
C) Estimate an auxiliary regression where the value of X is the dependent variable and the lagged value of X is the independent variable.
D) Estimate an auxiliary regression where the value of e (the residual) is the dependent variable and the lagged value of X is the independent variable.
Correct Answer:
Verified
Correct Answer:
Verified
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