In the Present Book Chapter-I is an introductory one. It contains the general introduction about the problem of autocorrelation . Chapter-II presents statistical inferential problems in linear models. It explains the specification of classical linear regression model together with its estimation. Chapter-III describes the review about inferential methods in linear models under the problem of autocorrelation. Chapter-IV proposes some alternative inferential methods for linear model with autocorrelated disturbances. It uses the various types of residuals such as ordinary least squares,...