benbenxiong

autocorrelation will not be statistically significant.

If they are - they would need to be included as lags....

if you see e.g. in a twelve month period regression that the 11th lag has a seasonal issue - the t-stat on its autocorrelation would be significant. YOu might find more significant autocorrelations, but you start with including the 11th period as a lag element. Then repeat the process. You should find that the autocorrelations now are no longer significant.

CP