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  1. D


    I am using the Breusch-Godfrey for autocorrelation, but I dont know how many lags should I use? I am testing seasonality of funds returns with the following OLS model: Rt=B0+B1Dmt+Ut Rt is the return on funds; B0 is the intercept; Dmt is the dummy variable. The value 1 corresponding to...
  2. D

    Newey West autocorrelation

    May I use Newey West procedures when exists only autocorrelation? or I just can use Newey West when exists both autocorrelation and heteroscedasticity? Any feedback you could give me would be greatly appreciated.