I am trying to estimate some variables, but I would like to know if what I am doing is right. I am using some data about labour productivity (in log) and, by using Stata, I filtered (Hodrick-Prescott) the data. Then, I fit a AR(1) process for labour productivity. Therefore, I created a lag variable for labour productivity and then run the following regression:
reg labprod lag(labprod)
Is it okay to write the results of this regression as: ?
You can find here (pag.17) the paper with the results by Gali & Monacelli. Did I correctly replicate the results? Do I need to undertake further steps?
Thank you in advance!