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

[David Hugh-Jones]

Another question - is there a way to use autocorrelation with OLS,
rather than GLS?
I am really blindly following Beck and Katz (1995) here, and they
recommend OLS rather than "Feasible Generalized Least Squares" for
panel data where the number of individuals is larger than the number
of time units, which is my case.

Cheers
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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> >
>