Solve first order autocorrelation problems using an iterative method. This procedure estimates both autocorrelation and beta coefficients recursively until we reach the convergence (8th decimal). The residuals are computed after estimating Beta using EGLS approach and Rho is estimated using the previous residuals.

Documentation

Manual: orcutt.pdf
Vignette: None available.

Maintainer: Stefano Spada <lostefanospada at gmail.com>

Author(s): Stefano Spada*, Matteo Quartagno*, Marco Tamburini*, David Robinson*

Install package and any missing dependencies by running this line in your R console:

install.packages("orcutt")

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Imports stats
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Package orcutt
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Version 2.1
Published 2017-04-09
License GPL-2
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NeedsCompilation no
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Package source orcutt_2.1.tar.gz