The function gls() from the package nlme will fit one of the classical econometric regression models, the linear regression model yi x i i with AR(1) disturbances, i i1 i , where i (0, 2 ) i i d and 1, albeit by maximum likelihood, not by least squares techniques Select one of the firms from the Grunfeld data and estimate this model What is the amount of first order autocorrelation

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Question: The function gls() from the package nlme will fit one of the classical econometric regression models, the linear regression model yi = x > i

The function gls() from the package nlme will fit one of the classical econometric regression models, the linear regression model yi = x > i β + εi with AR(1) disturbances, εi = φεi−1 + νi , where νi ∼ (0, σ2 ν ) i.i.d. and |φ| < 1, albeit by maximum likelihood, not by least-squares techniques. Select one of the firms from the Grunfeld data and estimate this model. What is the amount of first-order autocorrelation?

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