I am having a problem figuring out how to conduct test for autocorrelation in my data. My dataset consists of 950k unique loan observations over the period of 4 months. The institution is international, so it has some observations from different countries (not panel data). I am studying the relationship between interest rates and a unique independent variable X with borrower and loan characteristics as control variables. However, I also want to control for macroeconomic variables such as unemployment rate(monthly data) in each country and bond yield(monthly data).
My loan data is cross sectional; however, the addition of these 2 macroeconomic variables may change the nature of data. Most of stata tutorials show testing for autocorrelation in time series data only. But my data is not purely time series except for 2 macroeconomic control variables. What command should I use for testing autocorrelation in this type of data?
My loan data is cross sectional; however, the addition of these 2 macroeconomic variables may change the nature of data. Most of stata tutorials show testing for autocorrelation in time series data only. But my data is not purely time series except for 2 macroeconomic control variables. What command should I use for testing autocorrelation in this type of data?
