Re: [R] Problems with Cochrane-Orcutt procedures

From: <tolga.i.uzuner_at_jpmorgan.com>
Date: Tue, 17 Jun 2008 19:13:06 +0100


Sure, of course. And thanks for looking John.

Here is the entire data:

> regrCMS

              a b

09/20/07 26.084 28.40
09/21/07 22.458 28.90
09/24/07 21.297 29.25
09/25/07 21.733 29.40
09/26/07 21.319 28.75
09/27/07 22.507 28.85
09/28/07 19.571 28.90
10/01/07 21.961 29.00
10/02/07 21.729 28.45
10/03/07 21.241 28.00
10/04/07 21.253 28.55
10/05/07 21.401 27.25
10/10/07 20.923 25.70
10/11/07 20.401 25.25
10/12/07 20.122 24.35
10/15/07 19.225 26.35
10/16/07 18.759 27.15
10/17/07 18.413 26.85
10/18/07 18.960 27.75
10/19/07 18.643 28.65
10/22/07 17.829 28.35
10/23/07 17.835 28.60
10/24/07 17.335 29.15
10/25/07 17.971 29.05
10/26/07 16.205 28.60
10/29/07 16.722 28.40
10/30/07 16.772 28.40
10/31/07 17.127 27.05
11/01/07 15.328 27.85
11/02/07 17.088 28.15

> regrCMSlm<-lm(regrCMS[,1]~regrCMS[,2])
> summary(regrCMSlm)

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

Residuals:
09/20/07 10/01/07 10/12/07 10/23/07 11/02/07   6.4365 2.2112 0.3183 -2.2462 -2.5355

Coefficients:

             Estimate Std. Error t value Pr(>|t|) (Intercept) 16.92553 10.21538 1.657 0.109 regrCMS[, 2] 0.09584 0.36477 0.263 0.795

Residual standard error: 2.436 on 28 degrees of freedom Multiple R-squared: 0.00246, Adjusted R-squared: -0.03317 F-statistic: 0.06904 on 1 and 28 DF, p-value: 0.7947

> cochrane.orcutt(regrCMSlm)
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]>
debug: e <- residuals(mod)
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')
>

"John Fox" <jfox_at_mcmaster.ca>
17/06/2008 18:49

To
<tolga.i.uzuner_at_jpmorgan.com>
cc
<r-help_at_r-project.org>
Subject
RE: [R] Problems with Cochrane-Orcutt procedures

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@jpmorgan.com [mailto:tolga.i.uzuner@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@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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This transmission may contain information that is privileged, confidential, legally privileged, and/or exempt from disclosure under applicable law. If you are not the intended recipient, you are hereby notified that any disclosure, copying, distribution, or use of the information contained herein (including any reliance thereon) is STRICTLY PROHIBITED. Although this transmission and any attachments are believed to be free of any virus or other defect that might affect any computer system into which it is received and opened, it is the responsibility of the recipient to ensure that it is virus free and no responsibility is accepted by JPMorgan Chase & Co., its subsidiaries and affiliates, as applicable, for any loss or damage arising in any way from its use. If you received this transmission in error, please immediately contact the sender and destroy the material in its entirety, whether in electronic or hard copy format. Thank you.
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