orcutt: residual.orcutt – R documentation

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residual.orcutt

Accessing Cochrane-Orcutt Fits

Residual for Cochrane-Orcutt Estimation

residual.orcutt(object, ...)

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

Stefano Spada

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

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