Dear,
I am doing a time series regression (one dependent time series variable, 7
independent time series variables and 32 annual observations). I have the
problem of cointegration, autocorrelation and multicollinearity. I am
considering an error correction model of the form:
diff(lnY(t))=a+b1*lnY(t-1)+b2*lnX(t-1)+b3*diff(lnX(t))+error
and not able to solve all problems.
Any suggestion how to built a good model that solves these problems? I
appreciate your help.
Thanks,
Bereket
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