I have panel data set and am using GMM estimation. The results for my tests have been for example:
AB test AR(1) (p-value) = .3215
AB test AR(2) (p-value) = .616
I know this means I have autoregression but I'm not sure how to interpret in a paper other than saying the test concludes the data is autoregressive because I've failed to reject the null hypothesis of no autogression. Is there anyway to fix this problem? This is for a school paper so I will need to interpret the autoregression. Is this the correct way to interpret it?
I have Autoregression - What do I do next?
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