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Hi !

I'm trying to estimate an equation of world wheat consumption. I did an LS regression but the Durbin-Watson statistic is not satisfying. So I want to do a GLS regression to correct this autocorrelation problem.
But there isn't any GLS option on Eviews 7. Is that because LS already means GLS?
I searched in eviews help, but I found no command or options...

Thanks for answering

Look up AR(1) in the help system.

Thanks a lot! I did.
But I don't understand :

my first equation is :
conso = argentina + canada + corn + ratio + wheat + pop

There is correlation in my residuals. I tested this serie and it follows a AR(1).

So, with AR(1) in the help system, my new equation is :
conso = argentina + canada + corn + ratio + wheat + pop + [ar(1)=c(1)]
right?

But the result is just concerning c(1).
I tested the stationnarity of the residuals, and the serie is!
I don't understand what is the point with this method.
How can I get the new coefficients of this new regression ?
And this specification : AR(1) = c(1) is really about the residuals ?

thanks for answering

Why don't you show us exactly what command you used so we can see where the coefficients are.

I just did :
Quick/estimate equation/
I wrote : CONSO = ARGENTINA_ENDING_STOCK + CANADA_ENDING_STOCK +
CORN___T + RATIO_EXPORT_WORLD + WHEAT___T +
WORLD_POP + [AR(1)=C(1)]

And this is the result I get.
I try to estimate this equation with GLS method and I don't understand what c(1) means and where are the new coefficient I should get with this new estimation.

You probably want coefficients on all those other variables....

Easier to specify by list Note that I've added a constant

I tried Cochrane-Orcutt method by this way :

http://www.getproxy.org/view/index.php? ... YzcyMDY%3D

but I don't understand, R² is lower and lower at every new equation and, at the end, just the constant is significant...
It makes me crazy!

I tried to use your method Glenn, but my result is :

http://www.getproxy.org/view/index.php? ... YzcyMDY%3D

So if AR(1) is not significant, my equation is false, isn't it?
And, anyway, Durbin-Watson is too low...

Including AR(1) effectively does iterated Cochrane-Orcutt. The odd thing in your regression is that the AR(1) coefficient comes out close to zero while the Durbin-Watson indicates remaining serial correlation. You might try posting your workfile, including the estimated equation.

Yes, I don't understand why I get those results.
I join my workfile and the equation I use...

thanks for your help :)

There are two things going on I believe.
(1) The estimation algorithm is having trouble finding a global maximum. You can see that by providing different starting values for the coefficients. Maybe someone at EViews has a suggestion for getting around this.
(2) Someone has given you "fake" data. The same value is repeated for several months in a row, which is unlikely to have really happened. (It may be that this the data nonetheless represents the best guess as to what happened.)

For your second hypothesis, the problem is that population and gdp are annual series.
But I try to modelise consumption which is a monthly serie...
I tried with 2 solutions :
1/ repeat the annual value for every month of the year
2/ GDP/12 and POP/12 and I put those values at every month of the year
...

And I'm sure those variables are important to regress consumption.