Package ‘orcutt’ bug?

David.
On Sep 26, 2012, at 9:03 PM, ??? wrote:

> Hello~
>  
> Did any one have used the package 'orcutt' ? 
>  
> I find that it can not work smoothly in a single variable regression. I use the example following, it function very well.
>  
> But when I regress "cons" on "price" (use the "reg1<-lm(cons~price+income+temp)") , then  use "reg11<-cochrane.orcutt(reg1)
> ". There is an error message ?Error in X[, -1] %*% regCO$coeff[-1] : non-conformable arguments?.
>  
> Is this a bug for this function?
>  
>> price<-c(  0.27,  0.28,  0.28,  0.28,  0.27,  0.26,  0.28  ,0.27  ,0.26  ,0.28,  0.28  ,0.27,  0.27,  0.29,  0.28,0.29,  0.28,  0.28,  0.28,  0.28,  0.29,  0.29,  0.28,  0.28,  0.28,  0.26,  0.26  ,0.26,  0.27  ,0.26)
>> cons<-c(0.39,  0.37,  0.39,  0.42,  0.41,  0.34,  0.33,  0.29,  0.27,  0.26,  0.29  ,0.30,  0.33,  0.32,  0.38,0.38,  0.47,  0.44,  0.39,  0.34,  0.32,  0.31,  0.28,  0.33,  0.31,  0.36,  0.38  ,0.42,  0.44  ,0.55)
>> income<-c(78,  79,  81,  80  ,76  ,78,  82,  79,  76,  79,  82,  85,  86,  83,  84,  82,  80,  78,  84,  86,  85,  87,  94,  92,  95,  96,  94,  96,  91,  90)
>> temp<-c(41,56,63,68,69,65,61,47,32,24,28,26,32,40,55,63,72,72,67,60,44,40,32,27,28,33,41,52,64,71)
>> reg<-lm(cons~price+income+temp)
>> library(orcutt)
> Warning message:
> package ?orcutt? was built under R version 2.14.2 
>> reg2<-cochrane.orcutt(reg)
>> reg2
> $Cochrane.Orcutt
> Call:
> lm(formula = YB ~ XB - 1)
> Residuals:
>       Min        1Q    Median        3Q       Max 
> -0.072610 -0.012760  0.000906  0.015209  0.077841 
> Coefficients:
>                 Estimate Std. Error t value Pr(>|t|)    
> XB(Intercept)  0.2424113  0.2531469   0.958   0.3474    
> XBprice       -1.1927018  0.6873988  -1.735   0.0950 .  
> XBincome       0.0031820  0.0014969   2.126   0.0436 *  
> XBtemp         0.0035572  0.0005339   6.662 5.56e-07 ***
> ---
> Signif. codes:  0 ?***? 0.001 ?**? 0.01 ?*? 0.05 ?.? 0.1 ? ? 1 
> Residual standard error: 0.0317 on 25 degrees of freedom
> Multiple R-squared: 0.9837,     Adjusted R-squared: 0.9811 
> F-statistic: 378.3 on 4 and 25 DF,  p-value: < 2.2e-16 
> 
> $rho
> [1] 0.3788941
> $number.interaction
> [1] 12
>  
>> reg1<-lm(cons~price)
>> reg11<-cochrane.orcutt(reg1)
> Error in X[, -1] %*% regCO$coeff[-1] : non-conformable arguments
>   
> Paul Wang
> pywang61 at yahoo.com.tw
> 	[[alternative HTML version deleted]]
> 
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David Winsemius, MD
Alameda, CA, USA