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ex32
2011 Jun 08
1
Autocorrelation in R
...Econometrics. However, he uses e-views, and I use R. I am
trying to reproduce his examples in R, but I am having problems
specifying a AR(1) model. Would anyone help me with my code?
Thanks in advance!
Reproducible code follows:
download.file("https://sites.google.com/a/proxima.adm.br/main/ex_32.csv
--no-check-certificate", "ex_32.csv", method="wget")
ex32=read.csv("ex_32.csv")
lm_ex32=lm(gc ~ yd, data=ex32)
summary(lm_ex32)
# Durbin-Watson (slide 26)
library(lmtest)
dwtest(gc ~ yd, data=ex32)
# or
dwtest(lm_ex32)
# Breusch-Godfrey
bgtest(lm_ex32, o...