Hi,
I have applied the command ls y c x ar(1) using Eviews, and I applied the cochrane orcutt function using R package and excel.
I got the same results for all the statistics in all these applications, accept the value of R squared, where it is different in Eviews. I have attached the results.
Could you please help me to know why, especially, the difference is large.
Different R squared value
Moderators: EViews Gareth, EViews Moderator
Different R squared value
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 Results_Eviews_and_R_package.xlsx
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 Fe ddaethom, fe welon, fe amcangyfrifon
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Re: Different R squared value
I don't see the AR results in your R output.
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 Nonnormality and collinearity are NOT problems!
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Re: Different R squared value
What command did you use in R? I don't think does CochraneOrcutt, does it?
(By the way, I'd be willing to wager that the Rsquared shown in the R output is from the quasidifferenced variables.)
Code: Select all
lm()
(By the way, I'd be willing to wager that the Rsquared shown in the R output is from the quasidifferenced variables.)
Re: Different R squared value
EViews Gareth wrote:I don't see the AR results in your R output.
Hi, I appreciate your quick response, thank you.
I used the function cochrane.orcutt (lm function) from the packages("orcutt"). This R function directly presents the new results of the Regression analysis using the transformed data (transformed using AR(1)) which what I had attached.
Regards,
Khawla
Re: Different R squared value
startz wrote:What command did you use in R? I don't thinkdoes CochraneOrcutt, does it?Code: Select all
lm()
(By the way, I'd be willing to wager that the Rsquared shown in the R output is from the quasidifferenced variables.)
Hi,
I used the function cochrane.orcutt (lm function) from the packages("orcutt"). I first applied (lm) function and then cochrane.orcutt (lm function).

 Nonnormality and collinearity are NOT problems!
 Posts: 3747
 Joined: Wed Sep 17, 2008 2:25 pm
Re: Different R squared value
The CochraneOrcutt package is returning the Rsquared on the quasidifferenced model. This is a bug. EViews has it right.
(Orcutt would not have been pleased.)
(Orcutt would not have been pleased.)
Re: Different R squared value
[quote="startz"]The CochraneOrcutt package is returning the Rsquared on the quasidifferenced model. This is a bug. EViews has it right.
(Orcutt would not have been pleased.)[/]
Thanks for your response, it was very helpful.
Best wishes,
Khawla
(Orcutt would not have been pleased.)[/]
Thanks for your response, it was very helpful.
Best wishes,
Khawla
Re: Different R squared value
startz wrote:The CochraneOrcutt package is returning the Rsquared on the quasidifferenced model. This is a bug. EViews has it right.
(Orcutt would not have been pleased.)
Hi and sorry to bother you again.
I just wonder, with regard to the use of CochraneOrcutt procedure and as much as I understand that if the all the dependent and the independent variables are transformed using rho, then thevalues of the predicted, residuals, and all the statistics including R squared value will be based on these inputs and be of the same form, but you said that quasidifferenced model is not be used in Eviews. My question is how the results of predicted, residuals, R squared values are obtained in Eviews if it does not depend on quasidifferenced.
regards

 Nonnormality and collinearity are NOT problems!
 Posts: 3747
 Joined: Wed Sep 17, 2008 2:25 pm
Re: Different R squared value
EViews doesn't exactly do CochraneOrcutt. By default estimation is by maximumlikelihood. The difference is likely to be very small.
Re: Different R squared value
startz wrote:EViews doesn't exactly do CochraneOrcutt. By default estimation is by maximumlikelihood. The difference is likely to be very small.
I really appreciate your help. I would be grateful if you recommend a source.
Best Wishes

 Nonnormality and collinearity are NOT problems!
 Posts: 3747
 Joined: Wed Sep 17, 2008 2:25 pm
Re: Different R squared value
The EViews help system describes the alternatives available in EViews quite extensively.
Re: Different R squared value
startz wrote:The EViews help system describes the alternatives available in EViews quite extensively.
Thank you very much.
Regards
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