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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.

I don't see the AR results in your R output.

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.)

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

What command did you use in R? I don't think

Code: Select all

lm()

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.)

Hi,
I used the function cochrane.orcutt (lm function) from the packages("orcutt"). I first applied (lm) function and then cochrane.orcutt (lm function).

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.)

[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

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

EViews doesn't exactly do Cochrane-Orcutt. By default estimation is by maximum-likelihood. The difference is likely to be very small.

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

The EViews help system describes the alternatives available in EViews quite extensively.

The EViews help system describes the alternatives available in EViews quite extensively.

Thank you very much.

Regards