Step.1 Estimate the equation as usual.(ls y c x)
Step.2 Name the residual as E (genr e=resid)
Step.3 View the residual Graph to detect auto-correlation
Step.4 Do Serial Correlation LM Test to check the possibility of auto-correlation.
Step.5 Estimate GLS equations by using the Cohrane-Orcutt method.
1) In order to get the ρ, estimate the equation of e e(-1) ( ls e e(-1))
2) ls y-(ρ’s value)*y(-1) c x-(ρ’s value)x(-1)
3) c^=c/(1-ρ)
Step.6 Get the equation
