Dear Johannes,
Could you please help have a look at the attached figure, the smoothed sunspot shock seems highly autocorrelated. Does it mean there is something wrong with my model ? If so, then estimated results can not be trusted?
Thanks in advance,
Huan
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highly autocorrelated smoothed shock
by ZBCPA » Tue Apr 19, 2016 11:09 am
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Re: highly autocorrelated smoothed shock
by jpfeifer » Tue Apr 19, 2016 6:21 pm
What are the assumptions on that shock? If your assumptions are that it must be uncorrelated, then yes, there is an issue. However, at least I do not have a good intuition on the theoretical properties a sunspot shock should have. This makes it hard to tell whether one should consider this to be problematic.
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