Does Cochrane-Orcult estimator captures endogeneity problem in a Time series regression?

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David Eugene Booth

I'd look at some of the attached references before I got too excited. However I am not familiar with your problem. Good luck and Best wishes, David Booth

Remal Al-Gounmeein

See these links:

Article A simple solution of the spurious regression problem

http://www.eco.uc3m.es/~jgonzalo/teaching/TecnicasEconometricas/WooldridgeCh18-19.pdf

https://mpra.ub.uni-muenchen.de/49364/1/MPRA_paper_49364.pdf

Rolando Gonzales Martinez

Saheed Busayo Akanni , no, it does not. The Cochrane-Orcult procedure allows to correct regression estimates to account for the presence of serial correlation in the error term, but does not solve a potential endogeneity problem.