How do you interpret an AR(1)

[Davidkp]

Dear all,

Please excuse my shocking lack of knowledge of econometrics, here is my query:

I have a fixed effects panel with exogenous I(1) variables, time=25 years, cross section= 11 countries.

The variables are I(1), therefore non stationary, and I have nottaken the first differences in my estimation.

I've included the AR(1) term in my estimation to reduce autocorrelation, and the DW is now looking great.

Given my textbooks are just as bad as my lecturers, I do not know how to interpret the coefficients: are they long term/short term effects/elasticities?

Also, how do I interpret the AR(1) statistic?

Many thanks and apologies again for the newbish nature of my post.

Cheers,

David

[Davidkp]

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