Hello everyone,
I'm conducting a panel data regression with a continuous dependent variable (Share price - SP), one categorical independent variable (TYPE OF INDUSTRY - TYPE) and other three continuous independent variables. During serial correlation testing using the Wooldridge test, I encountered an error indicating that factor variables and time-series operators are not permitted in the command 'xtserial SP1 DPS1 DPR1 RR1 i.TYPE.
Considering this,
01. Is it acceptable to execute the command without explicitly identifying the variable's categorical nature? example: xtserial SP1 DPS1 DPR1 RR1 TYPE
02. If not what would be the most suitable approach for assessing autocorrelation under such circumstances?
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