Estimate procedure in case of first order autocorrelation

Description

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.

Usage

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Arguments

reg

a linear model built with lm function

Value

An object of class "summary.lm", basically a list including elements

coefficients

a named vector of coefficients

residuals

residuals

Author(s)

Stefano Spada, Matteo Quartagno, Marco Tamburini

References

Verbeek M. (2004) A guide to modern econometrics, Jhon Wiley & Sons Ltd

Examples

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price<-c( 0.27, 0.28, 0.28, 0.28, 0.27, 0.26, 0.28 ,0.27 ,0.26 ,0.28, 0.28 ,0.27, 0.27, 0.29, 0.28,0.29, 0.28, 0.28, 0.28, 0.28, 0.29, 0.29, 0.28, 0.28, 0.28, 0.26, 0.26 ,0.26, 0.27 ,0.26)
cons<-c(0.39, 0.37, 0.39, 0.42, 0.41, 0.34, 0.33, 0.29, 0.27, 0.26, 0.29 ,0.30, 0.33, 0.32, 0.38,0.38, 0.47, 0.44, 0.39, 0.34, 0.32, 0.31, 0.28, 0.33, 0.31, 0.36, 0.38 ,0.42, 0.44 ,0.55)
income<-c(78, 79, 81, 80 ,76 ,78, 82, 79, 76, 79, 82, 85, 86, 83, 84, 82, 80, 78, 84, 86, 85, 87, 94, 92, 95, 96, 94, 96, 91, 90)
temp<-c(41,56,63,68,69,65,61,47,32,24,28,26,32,40,55,63,72,72,67,60,44,40,32,27,28,33,41,52,64,71)
reg<-lm(cons~price+income+temp)
reg2<-cochrane.orcutt(reg)
reg2

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