Email: A Note on Hypothesis Tests after Correction for Autocorrelation: Solace for the Cochrane-Orcutt Method?
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(Not for publication) Appendix to: Testing long-horizon predictive ability with high persistence, and the Meese-Rogoff puzzle
j=1 bρ(j) 11 L is a generic lag polynomial that captures the serial correlation in y1,t − y1 − β0y2,t − d1t. After these three steps, the researcher repeats regression (b) – call it step (d) –, then repeats regression (c) – a fifth step – and continues to zigzag back and forth between them until convergence is reached.2 The Cochrane-Orcutt procedure is the estimation method used in Meese and Ro...
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