If the Residuals of a Model Containing Lags of the Dependent

question 20

Multiple Choice

If the residuals of a model containing lags of the dependent variable are autocorrelated, which one of the following could this lead to?

• A) Biased but consistent coefficient estimates
• B) Biased and inconsistent coefficient estimates
• C) Unbiased but inconsistent coefficient estimates
• D) Unbiased and consistent but inefficient coefficient estimates.

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