* Autocorrelation in OLS Model for US Consumption Function * * Keywords: * regression, ols, log, autocorrelation, test, correction, ar, consumption * * Description: * We illustrate how to estimate a Log OLS Model for US Consumption Function * and test and correct it for Autocorrelation of order 1 * * Author(s): * Skif Pankov * * Source: * Damodar N. Gujarati and Dawn C. Porter, Basic Econometrics - 5th Edition * McGraw-Hill International Edition, Chapter 12, Example 12.13 (page 450) * sample 1 54 * Reading the datafile and naming variables read(data_10.2.shd) c yd w i * Generating a natural logarithms of variables genr lnc = log(c) genr lnyd = log(yd) genr lnw = log(w) * Running an OLS regression of lnc on lnyd, lnw and i, stating to display * Durbin-Watson prbability value ols lnc lnyd lnw i / dwpvalue * Running an AR(1) model, specifying to drop the first observation auto lnc lnyd lnw i / drop order = 1 stop