I am doing quantile regression with CSAD as my dependent variable and market return and squared market return as my explanatory variables. My Durbin-Watson test statistic is 1.288331 with p value = 0. The results indicate lag 1 Autocorrelation 0.3547093. How do I address this issue? How do I decide whether I should incorporate a lagged independent variable or dependent variable in my regression model.

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