[R] Cochrane-Orcutt method

[Prof Brian Ripley]

On Wed, 9 Jan 2002, John Janmaat wrote:

> Hello,
>
> Is there a package that implements the Cochrane-Orcutt itterative
> procedure for dealing with autocorrelation in a regression model?

No, but

(1) gls in package nlme does it properly.

(2) There is a worked example in MASS (the book, and in the on-line help
for beav2 & beav1).


-- 
Brian D. Ripley,                  ripley at stats.ox.ac.uk
Professor of Applied Statistics,  http://www.stats.ox.ac.uk/~ripley/
University of Oxford,             Tel:  +44 1865 272861 (self)
1 South Parks Road,                     +44 1865 272860 (secr)
Oxford OX1 3TG, UK                Fax:  +44 1865 272595

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