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Autocorrelation in panel data
Posted: Sun Aug 21, 2016 4:07 am
by AngieL
Hi everyone,
Does anyone know how to estimate the autocorrelation for panel data?
Thank you in advance,
Angie
Re: Autocorrelation in panel data
Posted: Mon Aug 22, 2016 2:37 am
by ahmed slamah
According to my knowledge, The Durbin-Watson statistic is used to test for autocorrelation using E-views program. The Durbin-Watson test yields a result between 0 and 4, with 0 indicating positive autocorrelation and 4 indicating negative autocorrelation. A result close to 2 provides sufficient confidence that no autocorrelation is present.
Re: Autocorrelation in panel data
Posted: Mon Aug 22, 2016 6:26 am
by AngieL
Thank you very much, but I am not sure if I can use the DW for the panel data.
Re: Autocorrelation in panel data
Posted: Sat Oct 15, 2016 6:53 am
by bayu_sutikno
Angiel, Why you are not sure can use Durbin Watson statistics to test autocorrelation ?? If any the other method what's name its ? I very need this topic. Thank you.
Re: Autocorrelation in panel data
Posted: Mon Oct 17, 2016 9:45 am
by EViews Glenn
The manual has an example of using the Wooldridge framework for testing against an AR(1) in a panel setting.
http://www.eviews.com/help/helpintro.ht ... es.html%23