Dear all,
I am having trouble interpreting the Rho statistic for a panel-corrected
Prais-Winsten statistic with AR1. When fixed effects are introduced in the
regression, the rho statistic we are looking at changes from 0.110 to
-0.001. Some of the significant coefficients in the regression also change
dramatically. Should we be concerned about an rho statistic so close to
zero? Is there an optimal rho for this kind of model?
Thank you very much!
Andrei