I have a partial adjustment regression with dummy variables in regressors. N=17 and T=18. because of dummies can't use GMM methods. how can I solve autocorrelation problem?
this is my model EIB = C(1)*EIB(-1) + C(2)*PB + C(3)*PG + C(4)*PN + C(5)*PK + C(6)*PL + C(7)*RD + C(8)*D1 + C(9)*D2 + C(10)*DS + C(11)
D1,D2 are industrial dummies and DS indicates time dummy.
Dear Maryam,
First of all, please check whether you have proper regressors. I suggest you check up all your previous steps such as Hausman. By the way, one solution is to change/add/delete a variable from your dynamic panel model. Another solution can be done through STATA. In STATA software, you can solve the problem through a command (I am not sure "xtregar" or "robust". You can check these two commands.)
Yours,
Ehsan
- Badges
- Science topic
- Similar topics
- Engineering
- Modeling