Hi. Thank you for the reply! It is very helpful. To answer your question, the data is commercial real estate market data at an MSA level (~70 cross-sections & 60-70 quarters), along with general economic measures both at the MSA and National levels. Basically, I'm trying to model the change in net operating income growth as a function of changes in various economic indicators. Not surprisingly, NOI growth is highly auto-regressive, and so I want to take advantage of this, but also want to take into account the differences across markets. I'd be interested in any suggestions you have as to a good approach. Thanks again.
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