[R] correcting for autocorrelation in models with panel data?

[David Hugh-Jones]

Assuming I have years in YEAR and state ids in ID, I guess the
correlation ought to be

corAR1(form = ~ YEAR | ID)

?

Thanks a lot,
David




On Thu, 10 Feb 2005 12:36:32 -0500, Doran, Harold <HDoran at air.org> wrote:
> In the nlme package you can find the gls() function to account for
> autocorrelation over time using corAR1. Syntax might look something like
> this:
> 
> fm1 <- gls(response ~ IV, long, correlation=corAR1(form=~1|ID),
> method='ML')
> 
> You can also use weights() for heteroscedasticity.
> 
> -Harold
> 
> -----Original Message-----
> From: r-help-bounces at stat.math.ethz.ch
> [mailto:r-help-bounces at stat.math.ethz.ch] On Behalf Of David Hugh-Jones
> Sent: Thursday, February 10, 2005 12:15 PM
> To: r-help at stat.math.ethz.ch
> Subject: [R] correcting for autocorrelation in models with panel data?
> 
> Hi
> 
> I have some panel data for the 50 US states over about 25 years, and I
> would like to test a simple model via OLS, using this data. I know how
> to run OLS in R, and I think I can see how to  create Panel Corrected
> Standard Errors using
> 
> http://jackman.stanford.edu/classes/350C/pcse.r
> 
> What I can't figure out is how to correct for autocorrelation over time.
> I have found a lot of R stuff on time series models but they all seem
> focused on predicting a single variable from its previous values.
> Can anyone explain to me how to detect and get round autocorrelation?
> Is there a package for panel data that I have missed?
> 
> I appreciate that this is probably just as much about my ignorance of
> econometrics as about R itself!
> 
> Cheers
> David
> 
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