orcutt-package: Estimate Procedure in Case of First Order Autocorrelation

Description Details Author(s) References

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.

Details

Package: orcutt
Type: Package
Version: 2.1
Date: 2017-04-09
License: GPL-2

Author(s)

Stefano Spada [aut, cre], Matteo Quartagno [ctb], Marco Tamburini [ctb], David Robinson [ctb]

Maintainer: Stefano Spada <lostefanospada@gmail.com>

References

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


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

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