From: John Fox <jfox_at_mcmaster.ca>

Date: Tue, 17 Jun 2008 13:49:22 -0400

John Fox, Professor

Department of Sociology

McMaster University

Hamilton, Ontario, Canada

web: socserv.mcmaster.ca/jfox

R-help_at_r-project.org mailing list

https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code. Received on Tue 17 Jun 2008 - 17:59:32 GMT

Date: Tue, 17 Jun 2008 13:49:22 -0400

Dear Tolga,

That's a little more information, but because the code seems to work for me on other data (though no longer the message dispatch), I can't say what produces the error. I guess that if you can't debug this yourself, you'll have to share the data (generally a good idea in any event).

> mod <- lm(Hartnagel[,5] ~ Hartnagel[,7])

*> mod
*

Call:

lm(formula = Hartnagel[, 5] ~ Hartnagel[, 7])

Coefficients:

(Intercept) Hartnagel[, 7]

-85.1117 0.2126

> cochrane.orcutt.lm(mod)

$coefficients

(Intercept) Hartnagel[, 7]

57.05592426 0.04015223

$cov

(Intercept) Hartnagel[, 7] (Intercept) 1226.739528 -1.381235045 Hartnagel[, 7] -1.381235 0.001713204

$sigma

[1] 14.00277

$rho

[1] 0.7835837

attr(,"class")

[1] "cochrane.orcutt"

Regards,

John

John Fox, Professor

Department of Sociology

McMaster University

Hamilton, Ontario, Canada

web: socserv.mcmaster.ca/jfox

*> -----Original Message-----
**> From: tolga.i.uzuner_at_jpmorgan.com [mailto:tolga.i.uzuner_at_jpmorgan.com]
**> Sent: June-17-08 1:17 PM
**> To: John Fox
**> Cc: r-help_at_r-project.org; tolga.i.uzuner_at_jpmorgan.com
**> Subject: RE: [R] Problems with Cochrane-Orcutt procedures
**>
**>
*

> Sure, I can imagine GLS is a much better way to deal with this.

*>
**> I guess I was looking at this because I did try GLS but got exactly the
*

same

> results as LM and I just wanted to be sure.

*>
**> I did "debug" the code in https://stat.ethz.ch/pipermail/r-help/2002-
**> January/017774.html and the offending line is:
**>
**> ...
**> mod <- lm(y ~ X - 1)
**> ...
**>
**> in the Orcutt procedure. Essentially, X is twice the length of y, as
*

below:

*>
*

> > cochrane.orcutt(regrCMSlm)

*> debugging in: cochrane.orcutt(regrCMSlm)
**> debug: {
**> UseMethod("cochrane.orcutt")
**> }
**> Browse[1]>
**> debug: UseMethod("cochrane.orcutt")
**> Browse[1]>
**> debugging in: cochrane.orcutt.lm(regrCMSlm)
**> debug: {
**> X <- model.matrix(mod)
**> y <- model.response(model.frame(mod))
**> e <- residuals(mod)
**> n <- length(e)
**> names <- colnames(X)
**> rho <- sum(e[1:(n - 1)] * e[2:n])/sum(e^2)
**> y <- y[2:n] - rho * y[1:(n - 1)]
**> X <- X[2:n, ] - rho * X[1:(n - 1), ]
**> mod <- lm(y ~ X - 1)
**> result <- list()
**> result$coefficients <- coef(mod)
**> names(result$coefficients) <- names
**> summary <- summary(mod, corr = F)
**> result$cov <- (summary$sigma^2) * summary$cov.unscaled
**> dimnames(result$cov) <- list(names, names)
**> result$sigma <- summary$sigma
**> result$rho <- rho
**> class(result) <- "cochrane.orcutt"
**> result
**> }
**> Browse[1]>
**> debug: X <- model.matrix(mod)
**> Browse[1]>
**> debug: y <- model.response(model.frame(mod))
**> Browse[1]> length(X)
**> [1] 378 #<<<<<<<<<<<<<<<<------------------------------
**> Browse[1]>
**> debug: e <- residuals(mod)
**> Browse[1]> length(y)
**> [1] 189 #<<<<<<<<<<<<<<<<------------------------------
**> Browse[1]>
**> debug: n <- length(e)
**> Browse[1]>
**> debug: names <- colnames(X)
**> Browse[1]>
**> debug: rho <- sum(e[1:(n - 1)] * e[2:n])/sum(e^2)
**> Browse[1]>
**> debug: y <- y[2:n] - rho * y[1:(n - 1)]
**> Browse[1]>
**> debug: X <- X[2:n, ] - rho * X[1:(n - 1), ]
**> Browse[1]>
**> debug: mod <- lm(y ~ X - 1)
**> Browse[1]>
**> Error in model.frame.default(formula = y ~ X - 1, drop.unused.levels =
***TRUE)
**

*> :
*

> variable lengths differ (found for 'X')

*>
**> Tolga
**>
**>
**>
**>
**> "John Fox" <jfox_at_mcmaster.ca>
**>
**> 17/06/2008 17:51 To
**> <tolga.i.uzuner_at_jpmorgan.com>
**> cc
**> <r-help_at_r-project.org>
**> Subject
**> RE: [R] Problems with Cochrane-Orcutt procedures
**>
**>
**>
**>
**>
**>
**> Dear Tolga,
**>
**> I'm afraid that I don't see an error. (I expect in any event that the
**> Cochrane-Orcott and Prais estimators are now only of historical interest.)
**>
**> Regards,
**> John
**>
**> ------------------------------
**> John Fox, Professor
**> Department of Sociology
**> McMaster University
**> Hamilton, Ontario, Canada
**> web: socserv.mcmaster.ca/jfox
**>
**>
**> > -----Original Message-----
**> > From: r-help-bounces_at_r-project.org [mailto:r-help-bounces_at_r-project.org]
**> On
**> > Behalf Of tolga.i.uzuner_at_jpmorgan.com
**> > Sent: June-17-08 11:13 AM
**> > To: r-help_at_r-project.org
**> > Subject: [R] Problems with Cochrane-Orcutt procedures
**> >
**> > 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 .
**> >
**> > Thanks,
**> > Tolga
**> >
**> > > regrCMSlm
**> >
**> > Call:
**> > lm(formula = regrCMS[, 1] ~ regrCMS[, 2])
**> >
**> > Coefficients:
**> > (Intercept) regrCMS[, 2]
**> > 25.7067 -0.3409
**> >
**> > > summary(regrCMSlm)
**> >
**> > Call:
**> > lm(formula = regrCMS[, 1] ~ regrCMS[, 2])
**> >
**> > Residuals:
**> > 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
**> >
**> > Coefficients:
**> > 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 b
**>
**>
**>
**>
**>
**>
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