In the preceding section, it is assumed that the order of the autoregressive process is known. In practice, you need to test for the presence of autocorrelation. The AUTOREG procedure output is shown ...

The regression model with autocorrelated disturbances is as follows: In these equations, y t are the dependent values, x t is a column vector of regressor variables, is a column vector of structural ...

This paper extends the Bayesian Model Averaging framework to panel data models where the lagged dependent variable as well as endogenous variables appear as regressors. We propose a Limited ...