orcutt: Estimate Procedure in Case of First Order Autocorrelation
Version 2.1

Solve first order autocorrelation problems using an iterative method. This procedure estimates both autocorrelation and beta coefficients recursively until we reach the convergence (8th decimal). The residuals are computed after estimating Beta using EGLS approach and Rho is estimated using the previous residuals.

Package details

AuthorStefano Spada [aut, cre], Matteo Quartagno [ctb], Marco Tamburini [ctb], David Robinson [ctb]
Date of publication2017-04-09 22:13:18 UTC
MaintainerStefano Spada <lostefanospada@gmail.com>
LicenseGPL-2
Version2.1
Package repositoryView on CRAN
Installation Install the latest version of this package by entering the following in R:
install.packages("orcutt")

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orcutt documentation built on May 29, 2017, 2:59 p.m.