the rejection of the COMFAC (Common Factor) restrictions indicates that the correct model is the one with the auto-correlated residuals. 这是什么意思,这句话是对的还是错的?
还有一点搞不懂,COMFAC test是用来检测serial correlation是不是由dynamic misspecification引起的,当拒绝H0的时候又说说明了autocorrelation is not due to lack of dynamic specification. 这里面的名词是什么意思?
If you reject the null then do not correct serial correlation by iteration, Specify a dynamic model.