This post is following of above post.
In this post, I will check if there is serial correlation in the previous regression model.
First, I make residual with resid() function.
Then, let's make a graph for the residual.
I cannot tell if there is serial correlation by watching above graph.
Let's check it.
st_residual and L(st_residual) are highly correlated. So, st_model has serial correlation.
So, let's make Serial Correlation Robust Inference with lmtest package and sandwich package.
capi is still statistically significant, t-value is 9.2124.
Let's see usual inference
capi's t-value is 10.859, it is greater than serial correlation robust inference.
That's it. Thank you!
To read the 1st post,
