cochrane.orcutt: Cochrane-Orcutt Estimation

In orcutt: Estimate Procedure in Case of First Order Autocorrelation

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

cochrane.orcutt(reg, convergence = 8, max.iter=100)

Arguments

reg	a linear model built with lm function
convergence	decimal value to reach for convergence, 8 as default
max.iter	the maximum number of interactions, 100 as default

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

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

orcutt documentation built on May 2, 2019, 2:19 a.m.