Dear Tolga, I'm afraid that your data work fine for me:
> regrCMSlm <- lm(regrCMS[,1] ~ regrCMS[,2]) > cochrane.orcutt.lm(regrCMSlm) $coefficients (Intercept) regrCMS[, 2] 23.5679065 -0.1784187 $cov (Intercept) regrCMS[, 2] (Intercept) 60.449366 -2.14491371 regrCMS[, 2] -2.144914 0.07676436 $sigma [1] 1.081036 $rho [1] 0.7208652 attr(,"class") [1] "cochrane.orcutt" > I'm using R 2.7.0 on Windows Vista; I put your data in a standard data frame; and, as I said, the method dispatch no longer works, so I called Cochrane.orcutt.lm() directly. 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 2:13 PM > To: John Fox > Cc: r-help@r-project.org > Subject: Re: [R] Problems with Cochrane-Orcutt procedures > > Sure, of course. And thanks for looking John. > > Here is the entire data: > > > regrCMS > a b > 09/20/07 26.084 28.40 > 09/21/07 22.458 28.90 > 09/24/07 21.297 29.25 > 09/25/07 21.733 29.40 > 09/26/07 21.319 28.75 > 09/27/07 22.507 28.85 > 09/28/07 19.571 28.90 > 10/01/07 21.961 29.00 > 10/02/07 21.729 28.45 > 10/03/07 21.241 28.00 > 10/04/07 21.253 28.55 > 10/05/07 21.401 27.25 > 10/10/07 20.923 25.70 > 10/11/07 20.401 25.25 > 10/12/07 20.122 24.35 > 10/15/07 19.225 26.35 > 10/16/07 18.759 27.15 > 10/17/07 18.413 26.85 > 10/18/07 18.960 27.75 > 10/19/07 18.643 28.65 > 10/22/07 17.829 28.35 > 10/23/07 17.835 28.60 > 10/24/07 17.335 29.15 > 10/25/07 17.971 29.05 > 10/26/07 16.205 28.60 > 10/29/07 16.722 28.40 > 10/30/07 16.772 28.40 > 10/31/07 17.127 27.05 > 11/01/07 15.328 27.85 > 11/02/07 17.088 28.15 > > regrCMSlm<-lm(regrCMS[,1]~regrCMS[,2]) > > summary(regrCMSlm) > > Call: > lm(formula = regrCMS[, 1] ~ regrCMS[, 2]) > > Residuals: > 09/20/07 10/01/07 10/12/07 10/23/07 11/02/07 > 6.4365 2.2112 0.3183 -2.2462 -2.5355 > > Coefficients: > Estimate Std. Error t value Pr(>|t|) > (Intercept) 16.92553 10.21538 1.657 0.109 > regrCMS[, 2] 0.09584 0.36477 0.263 0.795 > > Residual standard error: 2.436 on 28 degrees of freedom > Multiple R-squared: 0.00246, Adjusted R-squared: -0.03317 > F-statistic: 0.06904 on 1 and 28 DF, p-value: 0.7947 > > > cochrane.orcutt(regrCMSlm) > 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]> > debug: e <- residuals(mod) > 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') > > > > > > > "John Fox" <[EMAIL PROTECTED]> > 17/06/2008 18:49 > > To > <[EMAIL PROTECTED]> > cc > <r-help@r-project.org> > Subject > RE: [R] Problems with Cochrane-Orcutt procedures > > > > > > > Dear Tolga, > > That's a little more information, but because the code seems to work for > me > on other data (though no longer the message dispatch), I can't say what > produces the error. I guess that if you can't debug this yourself, you'll > have to share the data (generally a good idea in any event). > > > mod <- lm(Hartnagel[,5] ~ Hartnagel[,7]) > > mod > > Call: > lm(formula = Hartnagel[, 5] ~ Hartnagel[, 7]) > > Coefficients: > (Intercept) Hartnagel[, 7] > -85.1117 0.2126 > > > cochrane.orcutt.lm(mod) > $coefficients > (Intercept) Hartnagel[, 7] > 57.05592426 0.04015223 > > $cov > (Intercept) Hartnagel[, 7] > (Intercept) 1226.739528 -1.381235045 > Hartnagel[, 7] -1.381235 0.001713204 > > $sigma > [1] 14.00277 > > $rho > [1] 0.7835837 > > attr(,"class") > [1] "cochrane.orcutt" > > > Regards, > John > > ------------------------------ > John Fox, Professor > Department of Sociology > McMaster University > Hamilton, Ontario, Canada > web: socserv.mcmaster.ca/jfox > > > > -----Original Message----- > > From: [EMAIL PROTECTED] [mailto:[EMAIL PROTECTED] > > Sent: June-17-08 1:17 PM > > To: John Fox > > Cc: r-help@r-project.org; [EMAIL PROTECTED] > > Subject: RE: [R] Problems with Cochrane-Orcutt procedures > > > > > > Sure, I can imagine GLS is a much better way to deal with this. > > > > I guess I was looking at this because I did try GLS but got exactly the > same > > results as LM and I just wanted to be sure. > > > > I did "debug" the code in https://stat.ethz.ch/pipermail/r-help/2002- > > January/017774.html and the offending line is: > > > > ... > > mod <- lm(y ~ X - 1) > > ... > > > > in the Orcutt procedure. Essentially, X is twice the length of y, as > below: > > > > > cochrane.orcutt(regrCMSlm) > > debugging in: cochrane.orcutt(regrCMSlm) > > debug: { > > UseMethod("cochrane.orcutt") > > } > > Browse[1]> > > debug: UseMethod("cochrane.orcutt") > > Browse[1]> > > debugging in: cochrane.orcutt.lm(regrCMSlm) > > debug: { > > X <- model.matrix(mod) > > y <- model.response(model.frame(mod)) > > e <- residuals(mod) > > n <- length(e) > > names <- colnames(X) > > rho <- sum(e[1:(n - 1)] * e[2:n])/sum(e^2) > > y <- y[2:n] - rho * y[1:(n - 1)] > > X <- X[2:n, ] - rho * X[1:(n - 1), ] > > mod <- lm(y ~ X - 1) > > result <- list() > > result$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. > In > > the event you are receiving the offering materials attached below > related > to > > your interest in hedge funds or private equity, this communication may > be > > intended as an offer or solicitation for the purchase or sale of such > > fund(s). 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