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rar
2007 May 24
1
lme with corAR1 errors - can't find AR coefficient in output
...ke a further conditional test. My model
is much like this (which reproduces the method on the famous Grunfeld
data, for the econometricians out there it is Table 5.2 in Baltagi):
library(Ecdat)
library(nlme)
data(Grunfeld)
mymod<-lme(inv~value+capital,data=Grunfeld,random=~1|firm,correlation=co
rAR1(0,~year|firm))
Embarrassing as it may be, I can find the autoregressive parameter
('Phi', if I get it right) in the printout of summary(mymod) but I am
utterly unable to locate the corresponding element in the lme or
summary.lme objects.
Any help appreciated. This must be something stupid...