Explain why the OLS estimator for the following model is inconsistent if random errors are serially correlated

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Explain why the OLS estimator for the following model is inconsistent if random errors are serially correlated of order 1.

Y_t = β₁ + β₂X_t + β₃Y_t‒1 + u_t

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A First Course in Probability

ISBN: 9789332519077

9th edition

Authors: Sheldon Ross

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Posted Date: Jun 10, 2021 02:38 PM

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Explain why the OLS estimator for the following model is inconsistent if random errors are serially correlated

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The consequences of Serial Correlation Pure serial correlation does not cause bias ... View the full answer

A First Course in Probability

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