Sure, I can imagine GLS is a much better way to deal with this. I guess I was looking at this because I did try GLS but got exactly the same results as LM and I just wanted to be sure.
I did "debug" the code in https://stat.ethz.ch/pipermail/r-help/2002-January/017774.html and the offending line is: ... mod <- lm(y ~ X - 1) ... in the Orcutt procedure. Essentially, X is twice the length of y, as below: > cochrane.orcutt(regrCMSlm) debugging in: cochrane.orcutt(regrCMSlm) debug: { UseMethod("cochrane.orcutt") } Browse[1]> debug: UseMethod("cochrane.orcutt") Browse[1]> debugging in: cochrane.orcutt.lm(regrCMSlm) debug: { X <- model.matrix(mod) y <- model.response(model.frame(mod)) e <- residuals(mod) n <- length(e) names <- colnames(X) rho <- sum(e[1:(n - 1)] * e[2:n])/sum(e^2) y <- y[2:n] - rho * y[1:(n - 1)] X <- X[2:n, ] - rho * X[1:(n - 1), ] mod <- lm(y ~ X - 1) result <- list() result$coefficients <- coef(mod) names(result$coefficients) <- names summary <- summary(mod, corr = F) result$cov <- (summary$sigma^2) * summary$cov.unscaled dimnames(result$cov) <- list(names, names) result$sigma <- summary$sigma result$rho <- rho class(result) <- "cochrane.orcutt" result } Browse[1]> debug: X <- model.matrix(mod) Browse[1]> debug: y <- model.response(model.frame(mod)) Browse[1]> length(X) [1] 378 #<<<<<<<<<<<<<<<<------------------------------ Browse[1]> debug: e <- residuals(mod) Browse[1]> length(y) [1] 189 #<<<<<<<<<<<<<<<<------------------------------ Browse[1]> debug: n <- length(e) Browse[1]> debug: names <- colnames(X) Browse[1]> debug: rho <- sum(e[1:(n - 1)] * e[2:n])/sum(e^2) Browse[1]> debug: y <- y[2:n] - rho * y[1:(n - 1)] Browse[1]> debug: X <- X[2:n, ] - rho * X[1:(n - 1), ] Browse[1]> debug: mod <- lm(y ~ X - 1) Browse[1]> Error in model.frame.default(formula = y ~ X - 1, drop.unused.levels = TRUE) : variable lengths differ (found for 'X') Tolga "John Fox" <[EMAIL PROTECTED]> 17/06/2008 17:51 To <[EMAIL PROTECTED]> cc <r-help@r-project.org> Subject RE: [R] Problems with Cochrane-Orcutt procedures Dear Tolga, I'm afraid that I don't see an error. (I expect in any event that the Cochrane-Orcott and Prais estimators are now only of historical interest.) Regards, John ------------------------------ John Fox, Professor Department of Sociology McMaster University Hamilton, Ontario, Canada web: socserv.mcmaster.ca/jfox > -----Original Message----- > From: [EMAIL PROTECTED] [mailto:[EMAIL PROTECTED] On > Behalf Of [EMAIL PROTECTED] > Sent: June-17-08 11:13 AM > To: r-help@r-project.org > Subject: [R] Problems with Cochrane-Orcutt procedures > > Hi John, > > Hi Folks/Prof. Fox, > > I found some code John Fox had written sometime back on the Cochrane-Orcutt > and Prais procedures here: > https://stat.ethz.ch/pipermail/r-help/2002-January/017774.html > > I thought I would try it out and get the following errors below. Was > wondering if anyone had any immediate opinions why this might be ? > > The linear model is the object regrCMSlm . > > Thanks, > Tolga > > > regrCMSlm > > Call: > lm(formula = regrCMS[, 1] ~ regrCMS[, 2]) > > Coefficients: > (Intercept) regrCMS[, 2] > 25.7067 -0.3409 > > > summary(regrCMSlm) > > Call: > lm(formula = regrCMS[, 1] ~ regrCMS[, 2]) > > Residuals: > 09/20/07 11/28/07 02/01/08 04/09/08 06/16/08 > 10.0593 0.3588 -1.1459 0.1340 -9.8520 > > Coefficients: > Estimate Std. Error t value Pr(>|t|) > (Intercept) 25.70673 0.85300 30.14 <2e-16 *** > regrCMS[, 2] -0.34092 0.02205 -15.46 <2e-16 *** > --- > Signif. codes: 0 b Generally, this communication is for informational purposes only and it is not intended as an offer or solicitation for the purchase or sale of any financial instrument or as an official confirmation of any transaction. 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