hildreth.lu {HoRM}

Hildreth-Lu Procedure

Description

Returns the linear regression fit for a given level of rho using the Hildreth-Lu procedure.

Usage

hildreth.lu(y, x, rho)

Arguments

y

A vector of response values.

x

A vector of predictor values. Must be the same length as y.

rho

A value for the correlation assumed for the autoregressive structure of the errors.

Value

hildreth.lu returns an object of class lm using the transformed quantities calculated for the Hildreth-Lu procedure.

References

Hildreth, C. and Lu, J. Y. (1960), Demand Relations with Autocorrelated Disturbances, Technical Bulletin 276, Michigan State University Agricultural Experiment Station.

Young, D. S. (2017), Handbook of Regression Methods, CRC Press.

See Also

lm

Examples

 
## Example using the natural gas dataset.

data(gas)

out.1 <- hildreth.lu(y = gas$OK, x = gas$LA, rho = 0.1)
out.2 <- hildreth.lu(y = gas$OK, x = gas$LA, rho = 0.5)

out.1
out.2