Grocer Function

NAME

olsar1 - maximum likelihood estimation of an autocorrelated model

CALLING SEQUENCE

[result]=olsar1(grocer_namey, arg1,...,argn)

PARAMETERS

Input

Output

DESCRIPTION

Computes maximum likelihood ols regression for AR1 errors, using Cochrane-Orcutt estimates as starting values. Endogenous variable must be given first, as a vector, a ts, between quotes (if the user wants to keep the name of the variable in the tlist result and for the printings) or not. Exogenous variables are given after, in one of the formats authorized for the endogenous one, or in matrix format. The program displays on screen various results (coefficients, tstat, Rē, Durbin and Watson, first order autocorrelation of residuals,...) except if the user has entered the argument 'noprint' anywhere after the first argument.

EXAMPLE

load('grocer/bdexamples/bdhenderic.dat') ; bounds('1964q3','1989q2') ; rolsar1=olsc('del(lm1-lp)','del(lp)','rnet','lagts(1,lm1-lp-ly)','cte')

This example, taken from olsar1_d, shows the estimation of first order autocorrelated model on Hendry and Ericsson (1991) preferred specification from which the variable 'del(lagts(1,lm1-lp-ly))' has been withdrawn.

AUTHOR

Eric Dubois 2002