Incorrect functional form. Cobweb pattern 5. Lags in time series 6. Manipulations of data such as moving averages or exponential smoothing 1. Estimators are still linear and unbiased and consistent.
Residuals variance unerestimates the true variance.
R squared may be overestimated. Standard errors of regression coefficients unerestimated. Respecify model 2. Use first differences 3. Maximum liklihood method.