orcutt: Estimate procedure in case of first order autocorrelation

This package has been implemented to 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.

Author
Stefano Spada, Matteo Quartagno, Marco Tamburini
Date of publication
2012-10-15 05:53:08
Maintainer
Spada Stefano <lostefanospada@gmail.com>
License
GPL-2
Version
1.1

View on CRAN

Man pages

cochrane.orcutt
Estimate procedure in case of first order autocorrelation
orcutt-package
Estimate procedure in case of first order autocorrelation

Files in this package

orcutt
orcutt/MD5
orcutt/R
orcutt/R/cochrane.orcutt.R
orcutt/man
orcutt/man/cochrane.orcutt.Rd
orcutt/man/orcutt-package.Rd
orcutt/NAMESPACE
orcutt/DESCRIPTION