orcutt: print.summary.orcutt – R documentation

Become an expert in R — Interactive courses, Cheat Sheets, certificates and more!

print.summary.orcutt

Summarizing Cochrane-Orcutt Fits

summary method for class "orcutt".

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

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

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 omitted.
`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 .

Stefano Spada

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

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

summary(coch)

Estimate Procedure in Case of First Order Autocorrelation

v2.3

GPL-2

Authors

Stefano Spada [aut, cre], Matteo Quartagno [ctb], Marco Tamburini [ctb], David Robinson [ctb]

Initial release

2018-09-27