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coraUK
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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?
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?