hildrethlu function

Hildreth-Lu Procedure

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

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. ## Returns

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

lm

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.

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