Re: [R] lme with corAR1 errors - can't find AR coefficient in output

From: Stephen Weigand <weigand.stephen_at_gmail.com>
Date: Fri, 25 May 2007 13:48:44 -0500

Millo,

On 5/24/07, Millo Giovanni <Giovanni_Millo_at_generali.com> wrote:

> Dear List,
>
> I am using the output of a ML estimation on a random effects model with
> first-order autocorrelation to make a further conditional test. My model
> is much like this (which reproduces the method on the famous Grunfeld
> data, for the econometricians out there it is Table 5.2 in Baltagi):
>
> library(Ecdat)
> library(nlme)
> data(Grunfeld)
> mymod<-lme(inv~value+capital,data=Grunfeld,random=~1|firm,correlation=co
> rAR1(0,~year|firm))
>
> Embarrassing as it may be, I can find the autoregressive parameter
> ('Phi', if I get it right) in the printout of summary(mymod) but I am
> utterly unable to locate the corresponding element in the lme or
> summary.lme objects.
>
> Any help appreciated. This must be something stupid I'm overlooking,
> either in str(mymod) or in the help files, but it's a huge problem for
> me.
>
>

Try

coef(mymod$model$corStruct,

       unconstrained = FALSE)

Stephen

-- 
Rochester, Minn. USA

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Received on Fri 25 May 2007 - 19:05:30 GMT

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