It depends on the autocorrelation. If the autocorrelation occurs at a certain lag, then add a MA term at that lag. If the autocorrelation is a several lags, add AR terms. Another method is that you add AR and MA lags until the autocorrelation disapears. Check the T-values of the coefficients and remove those terms with insignificant coefficients. It is a bit of a trial-and-error process. Add terms and see if you can remove the autocorrelation. However, keep an eye on the T-values. The same process applies for removing the heteroscedasticity.
Best Answer