[R] Problems with Cochrane-Orcutt procedures

From: <tolga.i.uzuner_at_jpmorgan.com>
Date: Tue, 17 Jun 2008 16:12:35 +0100

Hi John,

Hi Folks/Prof. Fox,

I found some code John Fox had written sometime back on the Cochrane-Orcutt and Prais procedures here: https://stat.ethz.ch/pipermail/r-help/2002-January/017774.html

I thought I would try it out and get the following errors below. Was wondering if anyone had any immediate opinions why this might be ?

The linear model is the object regrCMSlm .


> regrCMSlm

lm(formula = regrCMS[, 1] ~ regrCMS[, 2])

 (Intercept) regrCMS[, 2]

     25.7067 -0.3409

> summary(regrCMSlm)

lm(formula = regrCMS[, 1] ~ regrCMS[, 2])

09/20/07 11/28/07 02/01/08 04/09/08 06/16/08  10.0593 0.3588 -1.1459 0.1340 -9.8520


             Estimate Std. Error t value Pr(>|t|) (Intercept) 25.70673 0.85300 30.14 <2e-16 *** regrCMS[, 2] -0.34092 0.02205 -15.46 <2e-16 *** ---
Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1

Residual standard error: 2.746 on 187 degrees of freedom Multiple R-squared: 0.561, Adjusted R-squared: 0.5587 F-statistic: 239 on 1 and 187 DF, p-value: < 2.2e-16

> cochrane.orcutt(regrCMSlm)

Error in model.frame.default(formula = y ~ X - 1, drop.unused.levels = TRUE) :
  variable lengths differ (found for 'X')
> prais.winsten(regrCMSlm)

Error in model.frame.default(formula = y ~ X - 1, drop.unused.levels = TRUE) :
  variable lengths differ (found for 'X')

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