Dear R Users, Kindly advice me what's wrong in my programming.
I'm using the Cochrane-Orcutt two stage procedure with Prais Wisten transformation, below is my R programming : >Y<-c(60.8,62.5,64.6,66.1,67.7,69.1,71.7,73.5,76.2,77.3,78.8,80.2,82.6,84.3,83.3,84.1,86.4,87.6,89.1,89.3,89.1, >, + 89.3,90.4,90.3,90.7,92.0,94.9,95.2,96.5,95.0,96.2,97.4,100.0,99.7,99.0,98.7,99.4,100.5,105.2,108.0,112.0,113.5, + 115.7,117.7,119.0,120.2) > >X<-c(48.9,50.6,52.9,55.0,56.8,58.8,61.2,62.5,64.7,65.0,66.3,69.0,71.2,73.4,72.3,74.8,77.1,78.5,79.3,79.3,79.2, >, + 80.8,80.1,83.0,85.2,87.1,89.7,90.1,91.5,92.4,94.4,95.9,100.0,100.4,101.3,101.5,104.5,106.5,109.5,112.8,116.1, + 119.1,124.0,128.7,132.7,135.7) > model<-lm(Y~X) > e<-resid(model) > mylag<-function(e,d=1) { + n<-length(e) + c(rep(NA,d),e)[1:n] + } > n<-length(e) > e1<-mylag(e) > modele<-lm(e~e1-1) > rho<-coef(modele) > rho e1 0.8875926 > n<-length(e) > xstar<-c(X[1]*(1-rho^2)^0.5,X[2:n]-rho*X[1:(n-1)]) > ystar<-c(Y[1]*(1-rho^2)^0.5,Y[2:n]-rho*Y[1:(n-1)]) > modelb<-lm(ystar~xstar) > bstar<-coef(modelb) > a<-(bstar[[1]][[1]])/(1-rho) > a[1:n]<-a > b<-bstar[[2]][[1]] > u<-Y-(a+X*b) > u<-u > myu<-function(u,d=1) { + n<-length(u) + c(rep(NA,d),u)[1:n] + } > u1<-myu(u) > modelu<-lm(u~u1-1) > Rho<-coef(modelu) > Rho u1 1.029970 The answer should be less than one but I got 1.029970. Any correction in the programming part? Any preventive action on this matter? Thank you. Regards, Lim Hock Ann [[alternative HTML version deleted]]
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