Package ‘orcutt’

September 28, 2018

Type Package
Title Estimate Procedure in Case of First Order Autocorrelation
Version 2.3
Date 2018-09-27
Depends lmtest
Imports stats
Description Solve first order autocorrelation problems using an iterative method. This procedure esti-
mates both autocorrelation and beta coefficients recursively until we reach the conver-
gence (8th decimal as default). The residuals are computed after estimating Beta using EGLS ap-
proach and Rho is estimated using the previous residuals.
License GPL-2
NeedsCompilation no
Author Stefano Spada [aut, cre],
Matteo Quartagno [ctb],
Marco Tamburini [ctb],
David Robinson [ctb]
Maintainer Stefano Spada <lostefanospada@gmail.com>
Repository CRAN
Date/Publication 2018-09-27 22:40:04 UTC

R topics documented:
orcutt-package . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2
cochrane.orcutt . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2
icecream . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4
predict.orcutt . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4
print.orcutt . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5
print.summary.orcutt . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6
residual.orcutt . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7
summary.orcutt . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 8

Index 9

1
2 cochrane.orcutt

orcutt-package Estimate Procedure in Case of First Order Autocorrelation

Description
This package has been implemented to solve first order autocorrelation problems using an iterative
method. This procedure estimates both autocorrelation and beta coefficients recursively until we
reach the convergence (8th decimal). The residuals are computed after estimating Beta using EGLS
approach and Rho is estimated using the previous residuals.

Details

Package: orcutt
Type: Package
Version: 2.3
Date: 2018-09-27
License: GPL-2

Author(s)
Stefano Spada [aut, cre], Matteo Quartagno [ctb], Marco Tamburini [ctb], David Robinson [ctb]
Maintainer: Stefano Spada <lostefanospada@gmail.com>

References
Verbeek M. (2004) A guide to modern econometrics, John Wiley & Sons Ltd, ISBN:978-88-08-
17054-5

cochrane.orcutt Cochrane-Orcutt Estimation

Description
Interactive method using to solve first order autocorrelation problems. This procedure estimates
both autocorrelation and beta coefficients recursively until we reach the convergence (8th decimal).
The residuals are computed after estimating Beta using EGLS approach and Rho is estimated using
the previous residuals

Usage
cochrane.orcutt(reg, convergence = 8, max.iter=100)
cochrane.orcutt 3

Arguments

reg a linear model built with lm function

convergence decimal value to reach for convergence, 8 as default
max.iter the maximum number of interactions, 100 as default

Value

An object of class "orcutt", basically a list including elements

coefficients a named vector of coefficients.

residuals residuals.
fitted.values the fitted mean values.
t.value t test of coefficients.
p.value p-value of coefficients.
call the matched call.
rho Spearman’s rho autocorrelation.
number.interaction
number of interaction of the model.
DW vector contained Durbin-Watson statistics and p-value.

Author(s)

Stefano Spada

References

Verbeek M. (2004) A guide to modern econometrics, John Wiley & Sons Ltd, ISBN:978-88-08-
17054-5

Examples

data(icecream, package="orcutt")
lm = lm(cons ~ price + income + temp, data=icecream)
coch = cochrane.orcutt(lm)
coch
4 predict.orcutt

icecream Ice Cream Consumption

Description
four weekly observations from 1951-03-18 to 1953-07-11 in United States (30 observations)

Usage
data("icecream")

Format
A data frame with 30 observations on the following 4 variables.

price price of ice cream (per pint);

cons consumption of ice cream per head (in pints);
income average family income per week (in US Dollars);
temp average temperature (in Fahrenheit);

Source
Hildreth, C. and J. Lu (1960) Demand relations with autocorrelated disturbances, Technical Bulletin
No 2765, Michigan State University.

References
Verbeek M. (2004) A guide to modern econometrics, John Wiley & Sons Ltd

Examples
data(icecream)
summary(icecream)

predict.orcutt Predict method for Cochrane-Orcutt Estimation

Description
Predicted values based on orcutt object.

Usage
## S3 method for class 'orcutt'
predict(object, ...)
print.orcutt 5

Arguments
object An "orcutt" object build with Cochrane-Orcutt fuction
... further arguments passed to or from other methods.

Author(s)
Stefano Spada

References
Verbeek M. (2004) A guide to modern econometrics, John Wiley & Sons Ltd

Examples

data(icecream, package="orcutt")
lm = lm(cons ~ price + income + temp, data=icecream)
coch = cochrane.orcutt(lm)
predict.coch = predict(coch)

print.orcutt Print Cochrane-Orcutt Estimation

Description
Print Cochrane-Orcutt Estimation

Usage
## S3 method for class 'orcutt'
print(x, ...)

Arguments
x an orcutt object
... additional arguments for specific methods.

Author(s)
Stefano Spada

References
Verbeek M. (2004) A guide to modern econometrics, John Wiley & Sons Ltd
6 print.summary.orcutt

Examples

data(icecream, package="orcutt")
lm = lm(cons ~ price + income + temp, data=icecream)
coch = cochrane.orcutt(lm)
coch

print.summary.orcutt Summarizing Cochrane-Orcutt Fits

Description
summary method for class "orcutt".

Usage
## S3 method for class 'summary.orcutt'
print(x, ...)

Arguments
x an object of class "orcutt", usually, a result of a call to cochrane.orcutt.
... further arguments passed to or from other methods.

Value
The function summary.orcutt computes and returns a list of summary statistics of the fitted Cochrane-
Orcutt.

coefficients a p x 4 matrix with columns for the estimated coefficient, its standard error,
t-statistic and corresponding (two-sided) p-value. Aliased coefficients are omit-
ted.
fstatistic value of F statistic.
df degrees of freedom of F statistic.
r.squared R^2, the fraction of variance explained by the model.
adj.r.squared the above R^2 statistic adjusted, penalizing for higher p.
DW.t a 4-vector contained the Durbin-Watson statistic and the p-value for the original
"lm" model, and the Durbin-Watson statistic and the p-value for the original
"orcutt" model .

Author(s)
Stefano Spada
residual.orcutt 7

References

Verbeek M. (2004) A guide to modern econometrics, John Wiley & Sons Ltd

Examples
##-- Continuing the cochrane.orcutt(.) example:

summary(coch)

residual.orcutt Accessing Cochrane-Orcutt Fits

Description

Residual for Cochrane-Orcutt Estimation

Usage

residual.orcutt(object, ...)

Arguments

object An "orcutt" object build with Cochrane-Orcutt fuction

... further arguments passed to or from other methods.

Author(s)

Stefano Spada

References

Verbeek M. (2004) A guide to modern econometrics, John Wiley & Sons Ltd

Examples

data(icecream, package="orcutt")
lm = lm(cons ~ price + income + temp, data=icecream)
coch = cochrane.orcutt(lm)
residuals(coch)
8 summary.orcutt

summary.orcutt Summarizing Cochrane-Orcutt Fits

Description
summary method for class "orcutt".

Usage
## S3 method for class 'orcutt'
summary(object, ...)

Arguments
object an object of class "orcutt", usually, a result of a call to cochrane.orcutt.
... further arguments passed to or from other methods.

Value
The function summary.orcutt computes and returns a list of summary statistics of the fitted Cochrane-
Orcutt
coefficients a p x 4 matrix with columns for the estimated coefficient, its standard error,
t-statistic and corresponding (two-sided) p-value. Aliased coefficients are omit-
ted.
fstatistic value of F statistic.
df degrees of freedom of F statistic.
r.squared R^2, the fraction of variance explained by the model.
adj.r.squared the above R^2 statistic adjusted, penalizing for higher p.
DW.t a 4-vector contained the Durbin-Watson statistic and the p-value for the original
"lm" model, and the Durbin-Watson statistic and the p-value for the original
"orcutt" model .

Author(s)
Stefano Spada

References
Verbeek M. (2004) A guide to modern econometrics, John Wiley & Sons Ltd

Examples
##-- Continuing the cochrane.orcutt(.) example:

summary(coch)
Index

∗Topic autocorrelation
orcutt-package, 2
∗Topic cochrane.orcutt
predict.orcutt, 4
residual.orcutt, 7
∗Topic cochrane
orcutt-package, 2
∗Topic datasets
icecream, 4
∗Topic lm
cochrane.orcutt, 2
∗Topic orcutt
icecream, 4
orcutt-package, 2
print.orcutt, 5
∗Topic summary.orcutt
print.summary.orcutt, 6
summary.orcutt, 8

cochrane.orcutt, 2

icecream, 4

orcutt (orcutt-package), 2
orcutt-package, 2

predict.orcutt, 4
print.orcutt, 5
print.summary.orcutt, 6

residual.orcutt, 7

summary.orcutt, 8