orcutt (version 2.3)

summary.orcutt: Summarizing Cochrane-Orcutt Fits

Description

summary method for class "orcutt".

Usage

# S3 method for orcutt
summary(object, ...)

Arguments

object

an object of class "orcutt", usually, a result of a call to cochrane.orcutt.

…

further arguments passed to or from other methods.

Value

The function summary.orcutt computes and returns a list of summary statistics of the fitted Cochrane-Orcutt

coefficients

a p x 4 matrix with columns for the estimated coefficient, its standard error, t-statistic and corresponding (two-sided) p-value. Aliased coefficients are omitted.

fstatistic

value of F statistic.

df

degrees of freedom of F statistic.

r.squared

R^2, the fraction of variance explained by the model.

adj.r.squared

the above R^2 statistic adjusted, penalizing for higher p.

DW.t

a 4-vector contained the Durbin-Watson statistic and the p-value for the original "lm" model, and the Durbin-Watson statistic and the p-value for the original "orcutt" model .

References

Verbeek M. (2004) A guide to modern econometrics, John Wiley & Sons Ltd

Examples

# NOT RUN {
##-- Continuing the  cochrane.orcutt(.) example:
# }
# NOT RUN {
summary(coch)
# }