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- Tue Aug 23, 2016 12:39 am
- Forum: Econometric Discussions
- Topic: Handling AutoCorrelation in Fixed Effect Model
- Replies: 0
- Views: 2429
Handling AutoCorrelation in Fixed Effect Model
Hi, Is there any available reference regarding use of AR(1) term or its restriction in Fixed Effect model? In my recent study I used AR(1) term in FE model to control Durbin Watson value for autocorrelation problem. By inclusion of AR(1) term the D.W value has been improved from 0.96 to 1.97, but I ...