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Estimating the covariance matrix for regression models with ar(1) errors and lagged dependent variables |
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| Authors: | Russell Davidson James G MacKinnon |
| Institution: | Queen''s University, Kingston, Ont., Canada K7L 3N6 |
| Abstract: | We propose a simple procedure, based on an artificial linear regression, for consistently estimating the covariance matrix of the parameter estimates for linear regression models with serially correlated errors and lagged dependent variables. |
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