Re: [R] Problems with Cochrane-Orcutt procedures

From: John Fox <jfox_at_mcmaster.ca>
Date: Tue, 17 Jun 2008 12:51:44 -0400

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@r-project.org [mailto:r-help-bounces@r-project.org]
On
> Behalf Of tolga.i.uzuner@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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