cochrane.orcutt: Cochrane-Orcutt Estimation

Description Usage Arguments Value Author(s) References Examples

Description

Interactive method using to solve first order autocorrelation problems. 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 "orcutt", basically a list including elements

coefficients

a named vector of coefficients.

residuals

residuals.

fitted.values

the fitted mean values.

t.value

t test of coefficients.

p.value

p-value of coefficients.

call

the matched call.

rho

Spearman's rho autocorrelation.

number.interaction

number of interaction of the model.

DW

vector contained Durbin-Watson statistics and p-value.

Author(s)

Stefano Spada

References

Verbeek M. (2004) A guide to modern econometrics, John Wiley & Sons Ltd, ISBN:978-88-08-17054-5

Examples

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data(icecream, package="orcutt")
lm = lm(cons ~ price + income + temp, data=icecream)
coch = cochrane.orcutt(lm)
coch


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