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class17-06 - Econ 444 Monday November 20 class 16 Econ 444...

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Econ 444, Monday November 20, class 16 Econ 444, Monday November 20, class 16 Robert de Jong 1 1 Department of Economics Ohio State University Robert de Jong Econ 444, Monday November 20, class 16
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Econ 444, Monday November 20, class 16 Wednesday November 22 1 Autocorrelation - main message of Monday 2 Probit model 3 Fixed effect model Robert de Jong Econ 444, Monday November 20, class 16
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Econ 444, Monday November 20, class 16 Autocorrelation is the failure of model assumption 4 The model assumptions: 1 The regression model is linear in the coefficients, is correctly specified, and has an additive error term. 2 The error term has a zero population term. 3 All explanatory variables are uncorrelated with the error term. 4 Observations of the error term are uncorrelated with each other (no serial correlation). 5 The error term has a constant variance (no heteroskedasticity). 6 No explanatory variable is a perfect linear combination of any other explanatory variable(s) (no perfect multicollinearity).
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