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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Re: Different R squared value
What command did you use in R? I don't think does Cochrane-Orcutt, does it?
(By the way, I'd be willing to wager that the R-squared shown in the R output is from the quasi-differenced variables.)
Code: Select all
lm()
(By the way, I'd be willing to wager that the R-squared shown in the R output is from the quasi-differenced 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 Cochrane-Orcutt, does it?Code: Select all
lm()
(By the way, I'd be willing to wager that the R-squared shown in the R output is from the quasi-differenced 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).
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Re: Different R squared value
The Cochrane-Orcutt package is returning the R-squared on the quasi-differenced 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 Cochrane-Orcutt package is returning the R-squared on the quasi-differenced 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 Cochrane-Orcutt package is returning the R-squared on the quasi-differenced 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 Cochrane-Orcutt 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 quasi-differenced 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 quasi-differenced.
regards
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Re: Different R squared value
EViews doesn't exactly do Cochrane-Orcutt. By default estimation is by maximum-likelihood. The difference is likely to be very small.
Re: Different R squared value
startz wrote:EViews doesn't exactly do Cochrane-Orcutt. By default estimation is by maximum-likelihood. The difference is likely to be very small.
I really appreciate your help. I would be grateful if you recommend a source.
Best Wishes
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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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