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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


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    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).
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