A full course in econometrics - undergraduate level - part 1 - fGLS for serially correlated errors

This video explains how we go about estimating GLS models to correct for serial correlation, in the event that the exact form of the serial correlation is not known. This means that the parameters of the serial correlation structure need to be estimated, using either the Cochrane-Orcutt or the Frais-Winsten procedures. Check out https://ben-lambert.com/econometrics-course-problem-sets-and-data/ for course materials, and information regarding updates on each of the courses. Quite excitingly (for me at least), I am about to publish a whole series of new videos on Bayesian statistics on youtube. See here for information: https://ben-lambert.com/bayesian/ Accompanying this series, there will be a book: https://www.amazon.co.uk/gp/product/1473916364/ref=pe_3140701_247401851_em_1p_0_ti