R help - Nov 2003 - Correction for first order autocorrelation in OLS residuals

Hi there fellow R-users, 

Can anyone tell me if there exits an R package that deals with serial
correlation in the residuals of an lm model.
Perhaps, using the Cochrane Orcutt or Praise Wilson methods?

Thanks, 

Wayne


Dr Wayne R. Jones
Senior Statistician / Research Analyst
KSS Limited
St James's Buildings
79 Oxford Street
Manchester M1 6SS
Tel: +44(0)161 609 4084
Mob: +44(0)7810 523 713




KSS Ltd
Seventh Floor  St James's Buildings  79 Oxford Street  Manchester  M1 6SS 
England
Company Registration Number 2800886
Tel: +44 (0) 161 228 0040	Fax: +44 (0) 161 236 6305
mailto:kssg@kssg.com		http://www.kssg.com


The information in this Internet email is confidential and m...{{dropped}}

Better, arima in ts and gls in nlme can fit such models by exact maximum 
likelihood.

On Wed, 19 Nov 2003, Wayne Jones wrote:
> Hi there fellow R-users, 
> 
> Can anyone tell me if there exits an R package that deals with serial
> correlation in the residuals of an lm model.
> Perhaps, using the Cochrane Orcutt or Praise Wilson methods?
> 
> Thanks, 
> 
> Wayne
> 
> 
> Dr Wayne R. Jones
> Senior Statistician / Research Analyst
> KSS Limited
> St James's Buildings
> 79 Oxford Street
> Manchester M1 6SS
> Tel: +44(0)161 609 4084
> Mob: +44(0)7810 523 713
> 
> 
> 
> 
> KSS Ltd
> Seventh Floor  St James's Buildings  79 Oxford Street  Manchester  M1
6SS  England
> Company Registration Number 2800886
> Tel: +44 (0) 161 228 0040	Fax: +44 (0) 161 236 6305
> mailto:kssg at kssg.com		http://www.kssg.com
> 
> 
> The information in this Internet email is confidential and m...{{dropped}}
> 
> ______________________________________________
> R-help at stat.math.ethz.ch mailing list
> https://www.stat.math.ethz.ch/mailman/listinfo/r-help
> 
> 
-- 
Brian D. Ripley,                  ripley at stats.ox.ac.uk
Professor of Applied Statistics,  http://www.stats.ox.ac.uk/~ripley/
University of Oxford,             Tel:  +44 1865 272861 (self)
1 South Parks Road,                     +44 1865 272866 (PA)
Oxford OX1 3TG, UK                Fax:  +44 1865 272595

The Cochrane Orcutt is probably an outdated approach to deal with
autocorrelation
and it is rather easy to write code.

Why don't you use a direct likelihood-based approach?

For gaussian data see the arima() function in ts package, or the Jim
Lindsey's packages (for instance the gar() function in the repeated package
at
http://alpha.luc.ac.be/~lucp0753/rcode.html

Also for GLM you can have a look at the Thomas Lumley's weave package that
implements different standard error estimators
http://faculty.washington.edu/tlumley/weave.html

hope this helps you,
best,
vito

----- Original Message -----
From: Wayne Jones <JonesW at kssg.com>
To: <r-help at stat.math.ethz.ch>
Sent: Wednesday, November 19, 2003 11:36 AM
Subject: [R] Correction for first order autocorrelation in OLS residuals

> Hi there fellow R-users,
>
> Can anyone tell me if there exits an R package that deals with serial
> correlation in the residuals of an lm model.
> Perhaps, using the Cochrane Orcutt or Praise Wilson methods?
>
> Thanks,
>
> Wayne
>
>
> Dr Wayne R. Jones
> Senior Statistician / Research Analyst
> KSS Limited
> St James's Buildings
> 79 Oxford Street
> Manchester M1 6SS
> Tel: +44(0)161 609 4084
> Mob: +44(0)7810 523 713
>
>
>
>
> KSS Ltd
> Seventh Floor  St James's Buildings  79 Oxford Street  Manchester  M1
6SS
England
> Company Registration Number 2800886
> Tel: +44 (0) 161 228 0040 Fax: +44 (0) 161 236 6305
> mailto:kssg at kssg.com http://www.kssg.com
>
>
> The information in this Internet email is confidential and m...{{dropped}}
>
> ______________________________________________
> R-help at stat.math.ethz.ch mailing list
> https://www.stat.math.ethz.ch/mailman/listinfo/r-help