[R] lme with corAR1 errors - can't find AR coefficient in output

Millo Giovanni Giovanni_Millo at Generali.com
Thu May 24 18:39:43 CEST 2007


Dear List,

I am using the output of a ML estimation on a random effects model with
first-order autocorrelation to make a further conditional test. My model
is much like this (which reproduces the method on the famous Grunfeld
data, for the econometricians out there it is Table 5.2 in Baltagi):

library(Ecdat)
library(nlme)
data(Grunfeld)
mymod<-lme(inv~value+capital,data=Grunfeld,random=~1|firm,correlation=co
rAR1(0,~year|firm))

Embarrassing as it may be, I can find the autoregressive parameter
('Phi', if I get it right) in the printout of summary(mymod) but I am
utterly unable to locate the corresponding element in the lme or
summary.lme objects.

Any help appreciated. This must be something stupid I'm overlooking,
either in str(mymod) or in the help files, but it's a huge problem for
me.

Thanks
Giovanni 

Giovanni Millo
Research Dept.,
Assicurazioni Generali SpA
Via Machiavelli 4, 
34131 Trieste (Italy)
tel. +39 040 671184 
fax  +39 040 671160
 
Ai sensi del D.Lgs. 196/2003 si precisa che le informazioni ...{{dropped}}



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