# hilu: Estimating Linear Models under AR(1) Autocorrelation with... In desk: Didactic Econometrics Starter Kit

 hilu R Documentation

## Estimating Linear Models under AR(1) Autocorrelation with Hildreth and Lu Method

### Description

If autocorrelated errors can be modeled by an AR(1) process (rho as parameter) then this function finds the rho value that that minimizes SSR in a Prais-Winsten transformed linear model. This is known as Hildreth and Lu estimation. The object returned by this command can be plotted using the `plot()` function.

### Usage

``````hilu(mod, data = list(), range = seq(-1, 1, 0.01), details = FALSE)
``````

### Arguments

 `mod` estimated linear model object or formula. `data` data frame to be specified if `mod` is a formula. `range` defines the range and step size of rho values. `details` logical value, indicating whether details should be printed.

### Value

A list object including:

 `results` data frame of basic regression results. `idx.opt` index of regression that minimizes SSR. `nregs` number of regressions performed. `rho.opt` rho-value of regression that minimizes SSR. `y.trans` optimal transformed y-values. `X.trans` optimal transformed x-values (incl. z). `all.regs` data frame of regression results for all considered rho values. `rho.vals` vector of used rho values.

### References

Hildreth, C. & Lu, J.Y. (1960): Demand Relations with Autocorrelated Disturbances. AES Technical Bulletin 276, Michigan State University.

### Examples

``````sales.est <- ols(sales ~ price, data = data.filter)

## In this example regressions over 199 rho values between -1 and 1 are carried out
## The one with minimal SSR is printed out
hilu(sales.est)

## Direct usage of a model formula
X <- hilu(sick ~ jobless, data = data.sick[1:14,], details = TRUE)

## Print full details
X

## Suppress details
print(X, details = FALSE)

## Plot SSR over rho-values to see minimum
plot(X)

``````

desk documentation built on May 29, 2024, 6:05 a.m.