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.

1 | ```
cochrane.orcutt(reg)
``` |

`reg` |
a linear model built with lm function |

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

`coefficients` |
a named vector of coefficients |

`residuals` |
residuals |

Stefano Spada, Matteo Quartagno, Marco Tamburini

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

1 2 3 4 5 6 7 | ```
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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