Dismiss Notice
Join Physics Forums Today!
The friendliest, high quality science and math community on the planet! Everyone who loves science is here!

Correcting Autocorrletation in a Model with Dummies

  1. Oct 29, 2007 #1
    How can I get SPSS output that corrects for first-level autocorrelation in the dependent variable and gives me appropriate beta estimates and significance levels? I used dummy variables for time and state effects in a model, I have 22 YEAR dummies and 51 STATE dummies. The method I want to copy is explained in an older paper:



    Eij = pEij-1 + Sij



    "Where ρ is the autocorrelation between the εijth and εij-1th errors and δij is a normally and independently distributed error with a constant variance across time and counties. The residuals from the weighted least squares fit were used to estimate rho. The dependent variable Yij was then transformed into Yij - ρ Yij-1. The regression analysis was rerun with these transformed independent and dependent variables." Can anyone explain what was done in this example and how I can do the same?
     
  2. jcsd
  3. Oct 29, 2007 #2

    EnumaElish

    User Avatar
    Science Advisor
    Homework Helper

    It is standard autocorr. correction, except for the panel structure of the data. SPSS needs to be somehow "told" that the dataset is panel (has a cross-section dimension in addition to a time series dimension).
     
Know someone interested in this topic? Share this thread via Reddit, Google+, Twitter, or Facebook

Have something to add?