Hello everyone on statalist! Hope you had a great weekend.
I am working on a project and have run into a few obstacles.
The purpose of my project is to conduct a multiple regression analysis, with the stock price of an airline company as a dependent variable. For independent variables, I have used Oil Price, Google Trends activity, average temperature deviation in the country where the airline has most of its departures and USD/NOK exchange rate. These variables are all daily variables, and I have included all dates, even though some of the above-mentioned variables do not have values accounting for all dates, such as the weekends for oil price for example.
I have a question regarding the presence of autocorrelation in my regression. How do I account for serial correlation in the error terms in a multiple linear regression? I have tried the Cochrane-Orcutt procedure, using the prais command with the 'corc' option included at the end, but that causes R^2 to dramatically decrease and it rendered all my variables insignificant. What would you recommend for dealing with autocorrelation?
Thank you in advance!
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