##------------------------------------------------------------------------##
## Script for web appendix on time-series regression                      ##
##        and generalized least squares                                   ##
## An R and S-PLUS Companion to Applied Regression                        ##
##    John Fox                                                            ##
##    Sage Publications, 2002                                             ##
##------------------------------------------------------------------------##

# preliminaries

options(width=65)
options(digits=5)
    
#OLS estimates

library(car)
data(Hartnagel)
Hartnagel
    
mod.ols <- lm(fconvict ~ tfr + partic + degrees + mconvict)
summary(mod.ols)

plot(year, residuals(mod.ols), type='o')
abline(h=0, lty=2)

library(ts)
par(mfrow=c(2,1))
acf(residuals(mod.ols))
acf(residuals(mod.ols), type='partial')

durbin.watson(mod.ols, max.lag=5)

# GLS estimates

library(nlme)
mod.gls <- gls(fconvict ~ tfr + partic + degrees + mconvict, 
    correlation=corARMA(p=2), method='ML')
summary(mod.gls)