library(stargazer) library(lmtest) library(orcutt) sample1<-("http://kanggc.iptime.org/book/data/ar.txt") sample1_dat<-read.delim(sample1,header=T) consume<-ts(sample1_dat$consume, start=c(1995.1), frequency=4) gdp<-ts(sample1_dat$gdp, start=c(1995.1), frequency=4) ols.res<-lm(consume~gdp) summary(ols.res) res<-resid(ols.res) res.t<-ts(res) #Durbin 2´Ü°è durbin.ols<-lm(consume[2:25]~consume[1:24]+gdp[2:25]+gdp[1:24]) summary(durbin.ols) dconsume<-consume[2:25]-0.429939*consume[1:24] #dconsume_1<-consume[2:25]-summary(durbin.ols)$coeff[2,1]*consume[1:24] dgdp<-gdp[2:25]-0.429939*gdp[1:24] #dgdp_1<-gdp[2:25]-summary(durbin.ols)$coeff[2,1]*gdp[1:24] gls.durbin<-lm(dconsume~dgdp) summary(gls.durbin) #Cochrane-Orcutt 2´Ü°è coch.or_2<-lm(res.t[2:25]~res.t[1:24]-1) summary(coch.or_2) #co2consume<-consume[2:25]-0.362322*consume[1:24] co2consume_1<-consume[2:25]-summary(coch.or_2)$coeff[1,1]*consume[1:24] #co2gdp<-gdp[2:25]-0.362322*gdp[1:24] co2gdp_1<-gdp[2:25]-summary(coch.or_2)$coeff[1,1]*gdp[1:24] gls.co2<-lm(co2consume_1~co2gdp_1) summary(gls.co2) #Cochrane-Orcutt estimation coch.res<-cochrane.orcutt(ols.res) coch.res #GLS estimation tconsume<-consume[2:25]-0.357123*consume[1:24] tgdp<-gdp[2:25]-0.357123*gdp[1:24] gls.res<-lm(tconsume~tgdp) summary(gls.res) stargazer(ols.res, gls.durbin, gls.co2, coch.res, gls.res, type="text")