autoregression, autocorrelation

sun

New Member
#1
Hi,

I am estimating the following regression which contains lagged dependent variables and lagged indepedent variables and I am worried about the autoregression and the autocorrelation problem in the residuals.

Y(t) c Y(t-1) Y(t-2) Y(t-3) X(t-1) X(t-2) Z(t-1)

Could you please let me know if such a specification has inherently some statistical problems and how to deal with that?

Thank you,

Sun