When the errors in a regression model have AR(1) serial correlation, why do the OLS standard errors

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When the errors in a regression model have AR(1) serial correlation, why do the OLS standard errors tend to underestimate the sampling variation in the j? Is it always true that the OLS standard errors are too small?

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Introductory Econometrics A Modern Approach

ISBN: 978-0324660548

4th edition

Authors: Jeffrey M. Wooldridge

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Question Posted: Apr 21, 2016 04:56 AM

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When the errors in a regression model have AR(1) serial correlation, why do the OLS standard errors

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We can reason this from equation 124 because the usual OLS standard error ...View the full answer

Introductory Econometrics A Modern Approach

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