# 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).

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
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
> 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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