Dear Gretl users,<br><br>I&#39;m totally puzzled by the option in Gretl to include lags of the dependent variable in time series models estimated via FGLS (Cochrane-Orcutt or Prais-Winsten). As much as I know, the consistence of the FGLS estimator requires the strict exogeneity of the regressors, i.e. including lagged dependent variables is out of question.<br>
<br>Does anybody have a possible explanation? I&#39;ve looked in Gretl&#39;s user&#39;s manual but haven&#39;t found any indication about this matter.<br><br>Any comments are very welcome and appreciated.<br><br>Gabor Ruzsa<br>
Corvinus University of Budapest, Hungary<br>