Basic question on Time-series–cross-section

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hmdocpda
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Joined: Wed Oct 16, 2013 11:56 am

Basic question on Time-series–cross-section

Postby hmdocpda » Wed Oct 16, 2013 12:05 pm

Hello!

I believe mine is a relatively basic question: my sample consists of time-series-cross-sectional data, i.e., tax revenue data from 300+ municipalities, for two different years.

From a simple graphical analysis, and also by performing the White's test to the data of each of those two years, I know there is (strong) heteroskedasticity which I must account for, and certainly, given the nature of the time-serie, there must be some autocorrelation.

My question is how to proceed in the estimation. I expected to use the Newey-West estimator, which deals both with heteroskedascity and autocorrelation, but such option does not appear. I'm a user of Eviews 7. What should I do? :(

Thank you in advance for your time.

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