/* Serial Correlation using Phillips Example */

clear all

use http://bigblue.depaul.edu/jlee141/econdata/eco375/phillips
tsset year

/* OLS Model with Serial Correlation */
regr unemp inf_rate
predict ei, resid
twoway (tsline ei)
/* Durbin Watson */
estat dwatson

/* GLS using Corchrane-Orcutt */
prais unemp inf_rate, corc

/* First Differenced Model */
gen d_unemp = unemp - l.unemp
gen d_inf_rate = inf_rate - l.inf_rate
regr d_unemp d_inf_rate

predict ei2, resid
twoway (tsline ei2)
/* Durbin Watson */
estat dwatson