Suppose that (X) is strictly exogenous. A researcher estimates an (operatorname{ADL}(1,1)) model, calculates the regression residual, and

Question:

Suppose that $X$ is strictly exogenous. A researcher estimates an $\operatorname{ADL}(1,1)$ model, calculates the regression residual, and finds the residual to be highly serially correlated. Should the researcher estimate a new ADL model with additional lags or simply use HAC standard errors for the ADL $(1,1)$ estimated coefficients?

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